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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008746092
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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 beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2012
Persistent link: https://www.econbiz.de/10009682612
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Forecasting covariance matrices : a mixed approach
Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417
Persistent link: https://www.econbiz.de/10011589016