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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Shrinkage estimation of semiparametric multiplicative error models
Brownlees, Christian; Gallo, Giampiero M. - In: International journal of forecasting 27 (2011) 2, pp. 365-378
Persistent link: https://www.econbiz.de/10009247496
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Forecasting realized volatility with changing average levels
Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 31 (2015) 3, pp. 620-634
Persistent link: https://www.econbiz.de/10011474431
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Shrinkage estimation of semiparametric multiplicative error models
Brownlees, Christian T.; Gallo, Giampiero M. - In: International journal of forecasting 27 (2011) 2, pp. 365-379
Persistent link: https://www.econbiz.de/10008782047