Multivariate high-frequency-based volatility (HEAVY) models
Article first published online: 4 AUG 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Special Issue: Themes on Modelling Volatility
Volume 27, Issue 6, pages 907–933, September/October 2012
How to Cite
Noureldin, D., Shephard, N. and Sheppard, K. (2012), Multivariate high-frequency-based volatility (HEAVY) models. J. Appl. Econ., 27: 907–933. doi: 10.1002/jae.1260
- Issue published online: 18 SEP 2012
- Article first published online: 4 AUG 2011
- Manuscript Revised: 22 APR 2011
- Manuscript Received: 9 MAR 2011
The JAE Data Archive directory is available athttp://qed.econ.queensu.ca/jae/datasets/noureldin001/.
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