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Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility
Chen, Cathy W.S., (2018)
A state space approach to estimating the integrated variance and microstructure noise component
Nagakura, Daisuke, (2009)
Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model
Ishida, Isao, (2009)