Coretto, Pietro; la Rocca, Michele; Storti, Giuseppe - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-23
The inhomogeneity of the cross-sectional distribution of realized assets' volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...
