A three-dimensional asymmetric power HEAVY model

A three-dimensional asymmetric power HEAVY model

This article proposes the three‐dimensional HEAVY system of daily, intra‐daily, and range‐based volatility equations. We augment the bivariate model with a third volatility metric, the Garman–Klass estimator, and enrich the trivariate system with power transformations and asymmetries. Most important...

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Bibliographic Details
Main Authors: Stavroula Yfanti, Georgios Chortareas, Menelaos Karanasos, Emmanouil Noikokyris
Format: Default Article
Published: 2020
Subjects:
asymmetries
HEAVY model
high-frequency data
power transformations
realized volatility
risk management
Online Access:https://hdl.handle.net/2134/12966881.v1
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https://hdl.handle.net/2134/12966881.v1

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