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Modelling and forecasting multivariate realized volatility
Chiriac, Roxana; Voev, Valeri - In: Journal of Applied Econometrics 26 (2011) 6, pp. 922-947
Persistent link: https://www.econbiz.de/10010826743
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REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - In: Journal of Applied Econometrics 29 (2014) 5, pp. 774-799
Persistent link: https://www.econbiz.de/10010888742