MEM or/and LogARMA: Which Model for Realized Volatility?
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-98689-6_16
Reference19 articles.
1. Allen, D., Chan, F., McAleer, M., Peiris, S.: Finite sample properties of the QMLE- for the LogACD model: application to Australian stocks. J. Econometr. 147, 163–185 (2008)
2. Anatolyev, S., Petukhov, A.: Uncovering the skewness news impact curve. J. Financ. Econometr. 14(4), 746–771 (2016)
3. Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P.: The distribution of realized exchange rate volatility. J. Amer. Stat. Assoc. 96, 42–55 (2001)
4. Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P.: Modeling and forecasting realized volatility. Econometrica 71(2), 579–625 (2003)
5. Buckland, S.T., Burnham, K.P., Augustin, N.H.: Model selection: an integral part of inference. Biometrics 53, 603–618 (1997)
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