ARMA representation of integrated and realized variances
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Publication:4458360
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Cites work
- scientific article; zbMATH DE number 1106711 (Why is no real title available?)
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Cited in
(18)- Predictive density estimators for daily volatility based on the use of realized measures
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Forecasting volatility with support vector machine-based GARCH model
- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
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- Monitoring disruptions in financial markets
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- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Aggregation and marginalization of GARCH processes: some further results
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