{"title":"The nonparametric GARCH model estimation using intraday high-frequency data","authors":"Fangrou Chai, Xingfa Zhang, Yuan Li, Yanshan Chen","doi":"10.1080/03610918.2024.2374900","DOIUrl":null,"url":null,"abstract":"Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"24 1","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Statistics-Simulation and Computation","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610918.2024.2374900","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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Abstract
Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...
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The Simulation and Computation series intends to publish papers that make theoretical and methodological advances relating to computational aspects of Probability and Statistics. Simulational assessment and comparison of the performance of statistical and probabilistic methods will also be considered for publication. Papers stressing graphical methods, resampling and other computationally intensive methods will be particularly relevant. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.
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