Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/10/1/54/2270704/nbr005.pdf
Reference24 articles.
1. Intraday periodicity and volatility persistence in financial markets
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5. ARCH modeling in finance
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