Brownlees, Christian T.; Cipollini, Fabrizio; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2011
Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...