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Munich Personal RePEc Archive

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Jump to: 83893 | 99398
Number of items: 2.

83893

Gerlach, Richard and Naimoli, Antonio and Storti, Giuseppe (2018): Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting.

99398

Gerlach, Richard and Naimoli, Antonio and Storti, Giuseppe (2020): Time-varying parameters Realized GARCH models for tracking attenuation bias in volatility dynamics. Forthcoming in: Quantitative Finance (2020)

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