Author:
Brownlees Christian T.,Gallo Giampiero M.
Subject
Business and International Management
Reference39 articles.
1. A comparison of financial duration models via density forecasts;Bauwens;International Journal of Forecasting,2004
2. Stochastic conditional intensity processes;Bauwens;Journal of Financial Econometrics,2006
3. Brownlees, C. T. (2007). Essays in parameter reduction techniques for nonlinear time series models. Ph.D. thesis, Dipartimento di Statistica G. Parenti. Università degli Studi di Firenze.
4. Brownlees, C. T., Cipollini, F., & Gallo, G. M. (2010). Intra-daily volume modeling and prediction for algorithmic trading. Journal of Financial Econometrics, in press.
5. On variable selection for volatility forecasting: the role of focused selection criteria;Brownlees;Journal of Financial Econometrics,2008
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13 articles.
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