Browsing by Subject "Continuous time methods"
Now showing items 1-2 of 2
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ARCH Models
(1994)This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univerate parametric ARCH models, general inference ... -
"Modeling and Forecasting Realized Volatility"
(2003)We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...
