GARCH models are useful to estimate daily volatility in financial return series. When intra-day return data are available realized volatility may be used for the same purpose. We formulate a new model ...

Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted ...

This is a preview. Log in through your library . Abstract The scaled deviance of an inverse Gaussian sample of size n can be expressed as a sum of (n - 1) independent chi-squared variates, a result ...