ARMA Representation of Integrated and Realized Variances
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- Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
- Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
- Nour MEDDAHI, 2002. "Arma Representation Of Integrated And Realized Variances," Cahiers de recherche 20-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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More about this item
Keywords
integrated variance; realized variance; ARMA reesentation; SR-SARV models; weak identification.;
All these keywords.NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-10-12 (Econometrics)
- NEP-ETS-2003-10-12 (Econometric Time Series)
- NEP-FIN-2003-10-12 (Finance)
- NEP-RMG-2003-10-12 (Risk Management)
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