The impact of jumps and leverage in forecasting covolatility
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Publication:5864641
DOI10.1080/07474938.2017.1307326OpenAlexW2100251878MaRDI QIDQ5864641
Publication date: 8 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://eprints.ucm.es/28343/1/1502.pdf
Related Items (4)
Realized stochastic volatility with general asymmetry and long memory ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Econometric Reviews honors Esfandiar Maasoumi ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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