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