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Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
Han, Heejoon; Park, Myung D. - In: Journal of forecasting 32 (2013) 6, pp. 522-533
Persistent link: https://www.econbiz.de/10010156094
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-292
Persistent link: https://www.econbiz.de/10008135099
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ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 167 (2012) 1, pp. 95-113
Persistent link: https://www.econbiz.de/10009825296
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-293
Persistent link: https://www.econbiz.de/10008898219