Realized GARCH: a joint model for returns and realized measures of volatility
Article first published online: 17 MAR 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Special Issue: Themes on Modelling Volatility
Volume 27, Issue 6, pages 877–906, September/October 2012
How to Cite
Hansen, P. R., Huang, Z. and Shek, H. H. (2012), Realized GARCH: a joint model for returns and realized measures of volatility. J. Appl. Econ., 27: 877–906. doi: 10.1002/jae.1234
- Issue published online: 18 SEP 2012
- Article first published online: 17 MAR 2011
The JAE Data Archive directory is available athttp://qed.econ.queensu.ca/jae/datasets/hansen003/
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