State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
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- Donggyu Kim & Minseog Oh & Yazhen Wang, 2022. "Conditional quantile analysis for realized GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 640-665, July.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2021-03-08 (Econometrics)
- NEP-ETS-2021-03-08 (Econometric Time Series)
- NEP-MST-2021-03-08 (Market Microstructure)
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