Chasing volatility. A persistent multiplicative error model with jumps
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Publication:2294516
DOI10.1016/j.jeconom.2017.01.005zbMath1456.62243OpenAlexW3123985281MaRDI QIDQ2294516
Massimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris
Publication date: 11 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.005
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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