A multiple indicators model for volatility using intra-daily data
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Publication:292000
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Cited in
(82)- A multiplicative thinning‐based integer‐valued GARCH model
- Volatility-Related Exchange Traded Assets: An Econometric Investigation
- Dynamic Autoregressive Liquidity (DArLiQ)
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
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- rumidas
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- Capturing the spillover effect with multiplicative error models
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- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Volatility clustering in the presence of time-varying model parameters
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