Supplementary Information Files for A three-dimensional asymmetric power HEAVY model

Supplementary Information Files for A three-dimensional asymmetric power HEAVY model

Supplementary Information Files for A three-dimensional asymmetric power HEAVY modelThis 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 enr...

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Bibliographic Details
Main Authors: Stavroula Yfanti, Georgios Chortareas, Menelaos Karanasos, Emmanouil Noikokyris
Format: Data Data
Published: 2020
Subjects:
Finance
risk management
realized volatility
power transformations
high-frequency data
HEAVY model
asymmetries
Online Access:https://dx.doi.org/10.17028/rd.lboro.15330600.v1
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https://dx.doi.org/10.17028/rd.lboro.15330600.v1

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