Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

2020 ◽  
Author(s):  
Richard H. Gerlach ◽  
Antonio Naimoli ◽  
Giuseppe Storti
Keyword(s):  
Measurement Error ◽  
Garch Models ◽  
Time Varying ◽  
Volatility Forecasting ◽  
Error Bias ◽  
Tracking Measurement

QMLE of periodic time-varying bilinear– GARCH models

2018 ◽  
Vol 48 (13) ◽  
pp. 3291-3310
Author(s):  
Abdelouahab Bibi ◽  
Ahmed Ghezal
Keyword(s):  
Garch Models ◽  
Time Varying

scholarly journals Asymptotics of Cholesky GARCH models and time-varying conditional betas

2018 ◽  
Vol 204 (2) ◽  
pp. 223-247 ◽  
Author(s):  
Serge Darolles ◽  
Christian Francq ◽  
Sébastien Laurent
Keyword(s):  
Garch Models ◽  
Time Varying ◽  
Conditional Betas

CORRECTING FOR MEASUREMENT ERROR BIAS IN CUMULATIVE EXPOSURE VARIABLES

Epidemiology ◽  
1998 ◽  
Vol 9 (Supplement) ◽  
pp. S44
Author(s):  
D Spiegelman ◽  
R Logan ◽  
J Samet
Keyword(s):  
Measurement Error ◽  
Cumulative Exposure ◽  
Error Bias

Cointegration and I(0) measurement error bias

1990 ◽  
Vol 34 (3) ◽  
pp. 255-259 ◽  
Author(s):  
Andreas M. Fischer
Keyword(s):  
Measurement Error ◽  
Error Bias
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