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accessRights:"restricted"
subject:"Capital income"
~isPartOf:"Quantitative finance"
~person:"Naimoli, Antonio"
~person:"Shen, Keren"
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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