Modeling Realized Variance with Realized Quarticity
نویسندگان
چکیده
This paper proposes a model for realized variance that exploits information in quarticity. The and quarticity measures are both highly persistent correlated with each other. proposed incorporates from the observed process via autoregressive conditional dynamics. It dependence higher order (fourth) moments analogy to class of GARCH models exploit second moments.
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ژورنال
عنوان ژورنال: Stats
سال: 2022
ISSN: ['2571-905X']
DOI: https://doi.org/10.3390/stats5030050