Temporal aggregation of volatility models

Author:

Meddahi Nour,Renault Eric

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference55 articles.

1. Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes;Akaike;Annals of the Institute of Statistical Mathematics,1974

2. Stochastic autoregressive volatility;Andersen;Mathematical Finance,1994

3. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

4. Heterogeneous information arrivals and return volatility dynamics;Andersen;Journal of Finance,1997

5. Answering the skeptics;Andersen;International Economic Review,1998

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