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Search: subject:"Mixed-frequency sampling"
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Mixed-frequency multivariate GARCH
Dhaene, Geert
;
Wu, Jianbin
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2016
Persistent link: https://www.econbiz.de/10011707062
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
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2020
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pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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