Realized GARCH: a joint model for returns and realized measures of volatility

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Realized GARCH: a joint model for returns and realized measures of volatility. / Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan.

In: Journal of Applied Econometrics, Vol. 27, No. 6, 2012, p. 877-906.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Hansen, PR, Huang, Z & Shek, HH 2012, 'Realized GARCH: a joint model for returns and realized measures of volatility', Journal of Applied Econometrics, vol. 27, no. 6, pp. 877-906. https://doi.org/10.1002/jae.1234

APA

Hansen, P. R., Huang, Z., & Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877-906. https://doi.org/10.1002/jae.1234

CBE

MLA

Hansen, Peter Reinhard, Zhuo Huang and Howard Howan Shek. "Realized GARCH: a joint model for returns and realized measures of volatility". Journal of Applied Econometrics. 2012, 27(6). 877-906. https://doi.org/10.1002/jae.1234

Vancouver

Author

Hansen, Peter Reinhard ; Huang, Zhuo ; Shek, Howard Howan. / Realized GARCH: a joint model for returns and realized measures of volatility. In: Journal of Applied Econometrics. 2012 ; Vol. 27, No. 6. pp. 877-906.

Bibtex

@article{3673c0e7fbcd46829e653f34119a7971,
title = "Realized GARCH: a joint model for returns and realized measures of volatility",
author = "Hansen, {Peter Reinhard} and Zhuo Huang and Shek, {Howard Howan}",
year = "2012",
doi = "10.1002/jae.1234",
language = "English",
volume = "27",
pages = "877--906",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "JohnWiley & Sons Ltd.",
number = "6",

}

RIS

TY - JOUR

T1 - Realized GARCH: a joint model for returns and realized measures of volatility

AU - Hansen, Peter Reinhard

AU - Huang, Zhuo

AU - Shek, Howard Howan

PY - 2012

Y1 - 2012

U2 - 10.1002/jae.1234

DO - 10.1002/jae.1234

M3 - Journal article

VL - 27

SP - 877

EP - 906

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

IS - 6

ER -