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Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc; Otranto, Edoardo - In: Journal of econometrics 217 (2020) 2, pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
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Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo; Brownlees, Christian; Gallo, Giampiero M. - In: Journal of econometrics 182 (2014) 2, pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10006747800