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Recursive Estimation of Volatility for High Frequency Financial Data

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10434508" target="_blank" >RIV/00216208:11320/21:10434508 - isvavai.cz</a>

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Dz_GBttyOH" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Dz_GBttyOH</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Recursive Estimation of Volatility for High Frequency Financial Data

  • Original language description

    The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in financial practice. Such a recursive approach seems to be suitable for the dynamic estimation with high-frequency data. The paper verifies the applicability of recursive algorithms of particular models to high-frequency data from the Czech environment, particularly in the context of risk prediction.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    10103 - Statistics and probability

Result continuities

  • Project

    <a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2021

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Statistika: Statistics and Economy Journal

  • ISSN

    0322-788X

  • e-ISSN

    1804-8765

  • Volume of the periodical

    101

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    16

  • Pages from-to

    296-311

  • UT code for WoS article

    000697713500005

  • EID of the result in the Scopus database

    2-s2.0-85119524653