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Impacts of trades in an error-correction model of quote prices

Engle, Robert F.; Patton, Andrew J. - 2000

Persistent link: https://www.econbiz.de/10001541189

Impacts of trades in an error-correction model of quote prices

Engle, Robert F.; Patton, Andrew J. - In: Journal of financial markets 7 (2004) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001868857

What good is a volatility model?

Engle, Robert F.; Patton, Andrew J. - In: Forecasting volatility in the financial markets, (pp. 47-63). 2007

Persistent link: https://www.econbiz.de/10003872831

Volatillity forecast comparison using imperfect volatility proxies

Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256

Persistent link: https://www.econbiz.de/10009242521

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10010231950

Dynamic Copula Models and High Frequency Data

De Lira Salvatierra, Irving - 2013

This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS) model of Creal, et al. (2012) with high frequency measures such as realized correlation to...

Persistent link: https://www.econbiz.de/10013080095