Author:
Bandi Federico M.,Perron Benoıˆt
Subject
Applied Mathematics,Economics and Econometrics
Reference44 articles.
1. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
2. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991
3. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006
4. Stock returns and volatility;Baillie;Journal of Financial and Quantitative Analysis,1990
5. Bandi, F.M., 2004. On persistence and nonparametric estimation: with an application to stock-return predictability. University of Chicago.
Cited by
62 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献