Parsimonious Heterogeneous ARCH Models for High Frequency Modeling
In this work we study a variant of the GARCH model when we consider the arrival of heterogeneous information in high-frequency data. This model is known as HARCH(<i>n</i>). We modify the HARCH(<i>n</i>) model when taking into consideration some market components that we consi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-02-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/2/38 |