Journal article · 2010

Realized volatility versus GARCH and stochastic volatility models. The evidence from the WIG20 index and the EUR/PLN foreign exchange market

Będowska-Sójka, B., Kliber, A.

Przegląd Statystyczny, 57(4), 105–127

DOI: 10.59139/ps.2010.04.8

Full text: see the publisher version via DOI.

Research topics: Volatility, high-frequency data and macroeconomic news

Cite

@article{ps2010_realized,
  title = {Realized volatility versus GARCH and stochastic volatility models. The evidence from the WIG20 index and the EUR/PLN foreign exchange market},
  author = {Będowska-Sójka, B. and Kliber, A.},
  year = {2010},
  journal = {Przegląd Statystyczny},
  note = {57(4), 105–127},
  doi = {10.59139/ps.2010.04.8}
}