Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, Richard T., Calonaci, Fabio, Cho, Dooyeon, Rho, Seunghwa
Published in Journal of time series analysis (01.07.2019)
Published in Journal of time series analysis (01.07.2019)
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Journal Article
Hierarchical time-varying estimation of asset pricing models
Baillie, Richard, Calonaci, Fabio, Kapetanios, George
Published in Journal of risk and financial management (01.01.2022)
Published in Journal of risk and financial management (01.01.2022)
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Journal Article
Stock returns predictability with unstable predictors
Calonaci, Fabio, Kapetanios, George, Price, Simon
Published in IDEAS Working Paper Series from RePEc (01.01.2022)
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Published in IDEAS Working Paper Series from RePEc (01.01.2022)
Paper
Stock returns predictability with unstable predictors
Calonaci, Fabio, Kapetanios, George, Price, Simon
Published in IDEAS Working Paper Series from RePEc (01.01.2022)
Get full text
Published in IDEAS Working Paper Series from RePEc (01.01.2022)
Paper
Long Memory, Realized Volatility and HAR Models
Baillie, Richard T, Calonaci, Fabio, Cho, Dooyeon, Rho, Seunghwa
Published in IDEAS Working Paper Series from RePEc (01.01.2019)
Get full text
Published in IDEAS Working Paper Series from RePEc (01.01.2019)
Paper