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资源简介：
VRPs for each asset plus predictors
应用场景：
创建时间：
2022-02-21
相关数据集
TGARCH parameter estimates for the whole dataset.
TGARCH parameter estimates for the whole dataset.
NIAID Data Ecosystem100
Ablation study of components of volatility modeling network.
Ablation study of components of volatility modeling network.
Figshare2022-05-05 更新80
Overnight GARCH-Itô Volatility Models
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trad
NIAID Data Ecosystem50
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies
Figshare2017-10-11 更新90
DCC-EGARCH (1,1)-t-copula estimates.
This study examines volatility spillovers between Chinese and U.S. equity markets by developing a comprehensive framework that captures asymmetric volatility, extreme co-movements, and dynamic correla
NIAID Data Ecosystem70
