A coupled component GARCH model for intraday and overnight volatility
Attributed to:
The Centre for Microdata Methods and Practice
funded by
ESRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1920/wp.cem.2017.0517
Publication URI: http://dx.doi.org/10.1920/wp.cem.2017.0517
Type: Working Paper