Towards a unified framework for high and low frequency return volatility modeling
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Publication:4259384
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Cited in
(8)- Multiresolution approximation for volatility processes
- Inventory Effects on Daily Returns in Financial Markets
- 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
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- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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