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~isPartOf:"Journal of applied econometrics"
~isPartOf:"UC3M working papers"
~person:"Hansen, Peter Reinhard"
~person:"Nielsen, Morten Ørregaard"
~person:"Sucarrat, Genaro"
~subject:"Time series analysis"
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Hansen, Peter Reinhard
Nielsen, Morten Ørregaard
Sucarrat, Genaro
Voev, Valeri
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Journal of applied econometrics
UC3M working papers
CREATES research paper
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
2
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
-
2016
Persistent link: https://www.econbiz.de/10011541411
Saved in:
3
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 774-799
Persistent link: https://www.econbiz.de/10010414850
Saved in:
4
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
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