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Volatility regressions with fat tails
Kim, Jihyun; Meddahi, Nour - In: Journal of econometrics 218 (2020) 2, pp. 690-713
Persistent link: https://www.econbiz.de/10012483177
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903