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Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of applied econometrics 17 (2002) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001709311
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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/10010414850
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A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
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Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan - In: Journal of applied econometrics 27 (2012) 6, pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, Peter R.; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-890
Persistent link: https://www.econbiz.de/10006956920
Cover Image
Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of applied econometrics 17 (2002) 5, pp. 457-478
Persistent link: https://www.econbiz.de/10006970947
Cover Image
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan - In: Journal of applied econometrics 27 (2012) 6, pp. 877-907
Persistent link: https://www.econbiz.de/10010022052
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Multivariate high‐frequency‐based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-934
Persistent link: https://www.econbiz.de/10010022053