Multivariate high‐frequency‐based volatility (HEAVY) models

Diaa Noureldin, Neil Shephard () and Kevin Sheppard ()

Journal of Applied Econometrics, 2012, vol. 27, issue 6, 907-933

Date: 2012
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Working Paper: Multivariate High-Frequency-Based Volatility (HEAVY) Models (2011)
Working Paper: Multivariate High-Frequency-Based Volatility (HEAVY) Models (2011)
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