There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data. Derived from a ...
In this paper we extend the conditional autoregressive range (CARR) model to the asymmetric CARR mixed data sampling (ACARR-MIDAS) model, which takes into consideration volatility asymmetry as well as ...
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