Score-driven models for realized volatility
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DOI: 10.1016/j.jeconom.2023.01.029
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- Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
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Keywords
GB2 distribution; HAR model; Heteroscedasticity; Volatility at risk; Weekly volatility pattern;All these keywords.
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