Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F23%3A00058659" target="_blank" >RIV/61384399:31110/23:00058659 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S092753982200113X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S092753982200113X</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jempfin.2022.12.007" target="_blank" >10.1016/j.jempfin.2022.12.007</a>

Result language
angličtina
Original language name
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Original language description
Main topics of the document: volatility models; multivariate GARCH; dynamic conditional correlation; covariance forecasting; high-low range; value-at-risk
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Result description