ARMA representation of integrated and realized variances

DOI10.1111/1368-423X.T01-1-00112zbMath1036.62085OpenAlexW2098060360MaRDI QIDQ4458360

Nour Meddahi

Publication date: 17 March 2004

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00112

zbMATH Keywords

ARMA representationweak identificationintegrated variancerealized varianceleverage effectstwo-factor modelone-factor modelSR-SARV models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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