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Realized kernels in practice : trades and quotes
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: The econometrics journal 12 (2009) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10003948806
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The NIG-S&ARCH model : a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg; Lunde, Asger - In: The econometrics journal 4 (2001) 4, pp. 319-342
Persistent link: https://www.econbiz.de/10001651362
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Realized kernels in practice: trades and quotes
Barndorff-Nielsen, O.E.; Hansen, P.Reinhard; Lunde, A.; … - In: The econometrics journal 12 (2009) 3, pp. C1
Persistent link: https://www.econbiz.de/10008336842
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The NIG-S& ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten B.; Lunde, Asger - In: The econometrics journal 4 (2001) 2, pp. 319
Persistent link: https://www.econbiz.de/10007483850