DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Donggyu | ko |
dc.contributor.author | Shin, Minseok | ko |
dc.contributor.author | Wang, Yazhen | ko |
dc.date.accessioned | 2023-10-17T06:02:33Z | - |
dc.date.available | 2023-10-17T06:02:33Z | - |
dc.date.created | 2022-10-17 | - |
dc.date.issued | 2023-10 | - |
dc.identifier.citation | JOURNAL OF BUSINESS & ECONOMIC STATISTICS, v.41, no.4, pp.1215 - 1227 | - |
dc.identifier.issn | 0735-0015 | - |
dc.identifier.uri | http://hdl.handle.net/10203/313442 | - |
dc.description.abstract | 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 trading data are not available during the close-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss of important information relevant to market dynamics. In this article, to account for whole-day market dynamics, we propose an overnight volatility model based on Ito diffusions to accommodate two different instantaneous volatility processes for the open-to-close and close-to-open periods. We develop a weighted least squares method to estimate model parameters for two different periods and investigate its asymptotic properties. | - |
dc.language | English | - |
dc.publisher | TAYLOR & FRANCIS INC | - |
dc.title | Overnight GARCH-Ito Volatility Models | - |
dc.type | Article | - |
dc.identifier.wosid | 000864779900001 | - |
dc.identifier.scopusid | 2-s2.0-85139010053 | - |
dc.type.rims | ART | - |
dc.citation.volume | 41 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 1215 | - |
dc.citation.endingpage | 1227 | - |
dc.citation.publicationname | JOURNAL OF BUSINESS & ECONOMIC STATISTICS | - |
dc.identifier.doi | 10.1080/07350015.2022.2116027 | - |
dc.contributor.localauthor | Kim, Donggyu | - |
dc.contributor.nonIdAuthor | Wang, Yazhen | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | High-frequency financial data | - |
dc.subject.keywordAuthor | Low-frequency financial data | - |
dc.subject.keywordAuthor | Quasi-maximum likelihood estimation | - |
dc.subject.keywordAuthor | Stochastic differential equation | - |
dc.subject.keywordAuthor | Volatility estimation and prediction | - |
dc.subject.keywordPlus | MATRIX ESTIMATION | - |
dc.subject.keywordPlus | FREQUENCY | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | JUMPS | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | TIME | - |
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