REALIZED BETA GARCH : A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

Autor: HANSEN, PETER REINHARD, LUNDE, ASGER, VOEV, VALERI

Publikováno v: Journal of Applied Econometrics, 2014 Aug 01. 29(5), 774-799.

Externí odkaz: https://www.jstor.org/stable/26608993

Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise

Autor: Nolte, Ingmar, Voev, Valeri

Publikováno v: Journal of Business & Economic Statistics, 2012 Jan 01. 30(1), 94-108.

Externí odkaz: http://dx.doi.org/10.1080/10473289.2011.637876

Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

Autor: Halbleib, Roxana, Voev, Valeri

Publikováno v: Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics, 2011 Feb 01. 231(1), 134-152.

Externí odkaz: https://www.jstor.org/stable/23813249

Three essays on estimation and dynamic modelling of multivariate market risks using high frequency financial data

Autor: Voev, Valeri.

Publikováno v: kostenfrei.

Konstanz, University, Diss., 2008.

Externí odkaz: http://d-nb.info/988092379/34
http://www.ub.uni-konstanz.de/kops/volltexte/2008/5001/pdf/Diss_Voev.pdf
http://www.ub.uni-konstanz.de/kops/volltexte/2008/5001/

Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility

Autor: Hansen, Peter Reinhard, Lunde, Asger, Voev, Valeri

Publikováno v: Hansen, P R, Lunde, A & Voev, V 2010 ' Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility ' Institut for Økonomi, Aarhus Universitet, Aarhus .

We introduce a multivariate GARCH model that utilizes and models realized measures of volatility and covolatility. The realized measures extract information contained in high-frequency data that is particularly beneficial during periods with variatio

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9cfc34b04ea28ab4af5f25c8d38570f4
https://hdl.handle.net/1814/25014