Multivariate contemporaneous-threshold autoregressive models
- 作者Michael J. Dueker; Zacharias Psaradakis; Martin Sola; Fabio Spagnolo
- 卷第160卷
- 期第2期
- 印刷ISSN0304-4076
- 文件大小560.28KB
- 发表时间2011
- DOI10.1016/j.jeconom.2010.09.011
- 页码311-325
Volatility Forecasting and Microstructure NoiseSinko, Arthur; Ghysels, Eric · SSRN Electronic Journal · 2006
Realized volatility forecasting and market microstructure noiseTorben G. Andersen; Tim Bollerslev; Nour Meddahi · 2011
Fourier volatility forecasting with high-frequency data and microstructure noiseBarucci, Emilio; Magno, Davide; Mancino, Maria Elvira · Quantitative Finance · 2012
CommentGhysels, Eric; Sinko, Arthur · Journal of Business & Economic Statistics · 2006
Volatility Forecasting and Microstructure NoiseSinko, Arthur; Ghysels, Eric · SSRN Electronic Journal · 2006
MIDAS Regressions: Further Results and New DirectionsGhysels, Eric; Sinko, Arthur; Valkanov, Rossen · Econometric Reviews · 2007
[Realized Variance and Market Microstructure Noise]: CommentEric Ghysels and Arthur Sinko · Journal of Business & Economic Statistics · 2006
MIDAS Regressions: Further Results and New DirectionsGhysels, Eric; Sinko, Arthur; Valkanov, Rossen I. · SSRN Electronic Journal · 2006