REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
| Year of publication: |
2014
|
|---|---|
| Authors: | Hansen, Peter Reinhard ; Lunde, Asger ; Voev, Valeri |
| Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 29.2014, 5, p. 774-799
|
| Publisher: |
John Wiley & Sons, Ltd. |