ARMA representation of integrated and realized variances (Q4458360)
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scientific article; zbMATH DE number 2060126
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| English | ARMA representation of integrated and realized variances |
scientific article; zbMATH DE number 2060126 |
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ARMA representation of integrated and realized variances (English)
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17 March 2004
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integrated variance
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realized variance
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ARMA representation
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SR-SARV models
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weak identification
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one-factor model
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two-factor model
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leverage effects
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0.7773681282997131
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0.7689650654792786
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0.7475250363349915
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0.74476557970047
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0.7347456216812134
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