A multiple indicators model for volatility using intra-daily data
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Cited in
(85)- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
- Testing weak exogeneity in multiplicative error models
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- A neural network enhanced volatility component model
- Evaluating multiplicative error models: a residual-based approach
- Automated variable selection in vector multiplicative error models
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
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- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Stock volatility predictability in bull and bear markets
- Capturing the spillover effect with multiplicative error models
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- On classifying the effects of policy announcements on volatility
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- Diagnostic checking of the vector multiplicative error model
- Location multiplicative error models with quasi maximum likelihood estimation
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- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Financial clustering in presence of dominant markets
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Heterogenous market hypothesis evaluation using multipower variation volatility
- Bootstrap based probability forecasting in multiplicative error models
- Realized stochastic volatility with general asymmetry and long memory
- High-frequency instruments and identification-robust inference for stochastic volatility models
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- rumidas
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- Quantile estimation of regression models with GARCH-X errors
- Volatility-Related Exchange Traded Assets: An Econometric Investigation
- Dynamic Autoregressive Liquidity (DArLiQ)
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- A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
- Accounting for missing values in score-driven time-varying parameter models
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- Realized BEKK-CAW models
- A simple joint model for returns, volatility and volatility of volatility
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Chasing volatility. A persistent multiplicative error model with jumps
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Volatility analysis with high-frequency and low-frequency historical data, and options-implied information
- Modelling dynamic portfolio risk using risk drivers of elliptical processes
- Adaptive Lasso for vector multiplicative error models
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- High frequency-based quantile forecast and combination: an application to oil market
- Fitting a two phase threshold multiplicative error model
- Volatility clustering in the presence of time-varying model parameters
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Uncertainty shocks of Trump election in an interval model of stock market
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