A generalized heterogeneous autoregressive model using market information



Hizmeri, Rodrigo, Izzeldin, Marwan, Nolte, Ingmar and Pappas, Vasileios
(2022) A generalized heterogeneous autoregressive model using market information. QUANTITATIVE FINANCE, 22 (8). 1513 - 1534.

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Item Type: Article
Uncontrolled Keywords: Realized volatility, Microstructure noise, Pre-averaged estimators, Semi-variance, Semi-covariance, Volatility forecasting
Divisions: Faculty of Humanities and Social Sciences > School of Management
Depositing User: Symplectic Admin
Date Deposited: 08 Jun 2022 14:21
Last Modified: 05 Oct 2022 19:57
DOI: 10.1080/14697688.2022.2076606
Open Access URL: https://doi.org/10.1080/14697688.2022.2076606
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3155472