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Title:Estimating the persistence and the autocorrelation function of a time series that is measured with error Author(s):HANSEN, Peter Reinhard; LUNDE, AsgerDate:2014Citation:
- Econometric theory, 2014, Vol. 30, No. 1, pp. 60-93
Type:ArticleAbstract: is motivated by the recent literature on realized volatility measures that are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the Dow Jones industrial average stocks, we ...
Title:Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility Author(s):HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, ValeriDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/28Abstract:We introduce a multivariate GARCH model that incorporates realized measures of
volatility and covolatility. The realized measures extract information about the current
level of volatility and covolatility from high-frequency ...