Towards a unified framework for high and low frequency return volatility modeling
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Publication:4259384
DOI10.1111/1467-9574.00085zbMATH Open0951.91018OpenAlexW1971628273MaRDI QIDQ4259384FDOQ4259384
Tim Bollerslev, Torben G. Andersen
Publication date: 23 August 1999
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9574.00085
Cited In (5)
- Multiresolution approximation for volatility processes
- Realistic Statistical Modelling of Financial Data
- Parametric estimation of long memory in factor models
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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