Multivariate Realized Stock Market Volatility
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More about this item
Keywords
Econometric and statistical methods; Financial markets;JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-03-31 (Econometrics)
- NEP-ETS-2007-03-31 (Econometric Time Series)
- NEP-RMG-2007-03-31 (Risk Management)
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