New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model

In this paper, based on the Realized GARCH model, the fractional integration Realized GARCH model is proposed by combining long memory parameters with conditional variance and replacing the original realized measure with the realized measure obtained after daily, weekly and monthly weighting. Based...

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Detalles Bibliográficos
Autores principales: Xiao, Mei, Tao, Zaiping, Gu, Zhouyi, Li, Zhengxin, Chen, Xihui
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10008922/
https://www.ncbi.nlm.nih.gov/pubmed/36923898
http://dx.doi.org/10.1016/j.heliyon.2023.e14017

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