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Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility

Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
Digital文書・図像類
Hansen, Peter Reinhard, Lunde, Asger, Voevb, ValeriInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Author HeadingHansen, Peter Reinhard Lunde, Asger Voevb, Valeri

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Digital文書・図像類
Barndorff-Nielsen, Ole E., Hansen, Peter Reinhard, Lunde, Asger, Shephard, NeilInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Author HeadingBarndorff-Nielsen, Ole E. Hansen, Peter Reinhard Lunde, Asger Shephard, Neil

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