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A Mixture Multiplicative Error Model for Realized Volatility. (2006). Lanne, Markku.
In: Economics Working Papers.
RePEc:eui:euiwps:eco2006/3.

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Cited: 38

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Cites: 36

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  1. Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2022/5.

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  2. Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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  3. Specification tests for non?Gaussian maximum likelihood estimators. (2021). Sentana, Enrique ; Fiorentini, Gabriele.
    In: Quantitative Economics.
    RePEc:wly:quante:v:12:y:2021:i:3:p:683-742.

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  4. Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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  5. Periodic autoregressive conditional duration. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:101696.

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  6. Bias corrections for exponentially transformed forecasts: Are they worth the effort?. (2020). Demetrescu, Matei ; Titova, Anna ; Golosnoy, Vasyl.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:761-780.

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  7. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: MPRA Paper.
    RePEc:pra:mprapa:93802.

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  8. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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  9. Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele.
    In: Working Paper series.
    RePEc:rim:rimwps:18-22.

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  10. Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model. (2018). MART, ; Rueda, Jose L ; Khuntia, Swasti R.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:12:p:3308-:d:185892.

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  11. Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2018_05.

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  12. Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12934.

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  13. Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2018_1804.

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  14. Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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  15. A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Dufays, Arnaud ; Bauwens, Luc ; Augustyniak, Maciej.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1609.

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  16. Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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  17. A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Dufays, Arnaud ; Bauwens, Luc ; Augustyniak, Maciej.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2016042.

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  18. A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility. (2015). Han, Heejoon ; Zhang, Shen ; Park, Myung D..
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:34:y:2015:i:3:p:209-219.

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  19. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility. (2015). Patton, Andrew ; Sheppard, Kevin.
    In: The Review of Economics and Statistics.
    RePEc:tpr:restat:v:97:y:2015:i:2:p:683-697.

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  20. Long Memory Volatility Models in R: Application to a Regional Blue Chips Index. (2015). Malaj, Visar .
    In: European Journal of Interdisciplinary Studies Articles.
    RePEc:eur:ejisjr:41.

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  21. Linear programming-based estimators in nonnegative autoregression. (2015). Preve, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s225-s234.

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  22. Forecasting realized volatility with changing average levels. (2015). Otranto, Edoardo ; Gallo, Giampiero.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:620-634.

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  23. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0186.

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  24. Forecasting Realized Volatility with Changes of Regimes. (2014). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2014_03.

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  25. Maximum likelihood estimates for positive valued dynamic score models; The DySco package. (2014). Andres, Philipp.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:34-42.

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  26. TVICA—Time varying independent component analysis and its application to financial data. (2014). Härdle, Wolfgang ; Chen, Ray-Bing ; Hardle, Wolfgang K..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:74:y:2014:i:c:p:95-109.

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  27. Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-29.

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  28. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201125.

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  29. Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2011_03.

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  30. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201019.

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  31. A Time-varying Mixing Multiplicative Error Model for Realized Volatility. (2010). Gallo, Giampiero ; De Luca, Giovanni.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2010_03.

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  32. Joint modeling of call and put implied volatility. (2009). Lanne, Markku ; Ahoniemi, Katja .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:239-258.

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  33. Implied Volatility with Time-Varying Regime Probabilities. (2008). Lanne, Markku ; Ahoniemi, Katja .
    In: MPRA Paper.
    RePEc:pra:mprapa:23721.

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  34. Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2008_03.

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  35. Joint Modeling of Call and Put Implied Volatility. (2007). Lanne, Markku ; Ahoniemi, Katja .
    In: MPRA Paper.
    RePEc:pra:mprapa:6318.

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  36. Forecasting realized exchange rate volatility by decomposition. (2007). Lanne, Markku.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:23:y:2007:i:2:p:307-320.

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  37. Forecasting Realized Volatility by Decomposition. (2006). Lanne, Markku.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2006/20.

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  41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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  42. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

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  43. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws025414.

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  44. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3651.

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  45. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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  46. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

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  47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

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  48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

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  49. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

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  50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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