Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
Year of publication: |
2011
|
---|---|
Authors: | Matei, Marius |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - 2011, 2, p. 116-141
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | High frequency | Volatility | Modeling | Forecasting | Realized measures | Microstructure noise |
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