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Predicting the daily covariance matrix for S&P 100 stock using intraday data : but which frequency to use?
Pooter, Michiel de
;
Martens, Martin
;
Dijk, Dick van
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 199-229
Persistent link: https://www.econbiz.de/10003761224
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2
Smooth transition autoregressive models : a survey of recent developments
Dijk, Dick van
;
Teräsvirta, Timo
;
Franses, Philip Hans
- In:
Econometric reviews
21
(
2002
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10001660011
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