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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
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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
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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