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Results 1-3 of 3 (Search time: 0.0 seconds).
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2018
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
신동완
Article
2019
Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
신동완
Article
2016
An integrated heteroscedastic autoregressive model for forecasting realized volatilities
신동완
Article
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HAR model
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Long-memory
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Volatility forecasting
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Cointegration
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Conditional heteroscedasticity
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Fractional integration
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Market microstructure noise
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Non-synchronous trading
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Stationary bootstrap
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