Showing stat.MEShow all
2 papers · 1 filter
stat.ME2021
A new volatility model: GQARCH-Itô model
Huiling Yuan, Yong Zhou, Lu Xu +2
Volatility asymmetry is a hot topic in high-frequency financial market. In this paper, we propose a new econometric model, which could describe volatility asymmetry based on high-f…
stat.ME2019
Volatility Analysis with Realized GARCH-Ito Models
Xinyu Song, Donggyu Kim, Huiling Yuan +4
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH mo…