Observation-driven Models for Realized Variances and Overnight Returns
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More about this item
Keywords
overnight volatility; realized variance; F distribution; score-driven dynamics;All these keywords.
JEL classification:
- 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
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-08-12 (Econometrics)
- NEP-FMK-2019-08-12 (Financial Markets)
- NEP-RMG-2019-08-12 (Risk Management)
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