A Multiple Indicators Model For Volatility Using Intra-Daily Data.
Year of publication: |
2003-07
|
---|---|
Authors: | Engle, Robert F. ; Gallo, Giampiero M. |
Institutions: | Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze |
Subject: | volatility modeling | volatility forecasting | GARCH | VIX | high-low range | realized volatility |
-
Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio, (2017)
-
Copula-based vMEM specifications versus alternatives : the case of trading activity
Cipollini, Fabrizio, (2017)
-
Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G., (2007)
- More ...
-
Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio, (2017)
-
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
Engle, Robert F., (2012)
-
Cipollini, Fabrizio, (2013)
- More ...