Multivariate high-frequency-based volatility (HEAVY) models
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for...
| Príomhchruthaitheoirí: | , , |
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| Formáid: | Working paper |
| Foilsithe / Cruthaithe: |
University of Oxford
2011
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