Modeling interest rate volatility: A Realized GARCH approach

Author:

Tian ShuairuORCID,Hamori Shigeyuki

Funder

JSPS KAKENHI

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference39 articles.

1. A theory of intraday patterns: volume and price variability;Admati;Review of Financial Studies,1988

2. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

3. The distribution of exchange rate volatility;Andersen;Journal of the American Statistical Association,2001

4. Power and bipower variation with stochastic volatility and jumps (with discussion);Barndorff-Nielsen;Journal of Financial Econometrics,2004

5. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise;Barndorff-Nielsen;Econometrica,2008

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