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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-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 newspaper › Journal article › Research › peer-review

Vancouver

Hansen PR, Huang Z, Shek HH. Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics. 2012;27(6):877-906. doi: 10.1002/jae.1234

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 -

Department of Economics and Business Economics

CREATES

CREATES