Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10203-012-0130-x.pdf
Reference34 articles.
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4. Andersen T., Bollerslev T., Diebold X., Ebens H.: The distribution of realized stock return volatility. J. Financ. Econ. 61, 43–76 (2001a)
5. Andersen T., Bollerslev T., Diebold X., Labys P.: The distribution of realized exchange rate volatility. J. Am. Stat. Assoc. 96, 42–55 (2001b)
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