Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling

Journal of Business and Economic Statistics - Tập 30 Số 3 - Trang 368-380 - 2012
Fulvio Corsi1, Roberto Renò2
1University of St. Gallen and Swiss Finance Institute , CH-8006 , Zurich , Switzerland
2School of Economics and Political Science , Università di Siena , 53100 , Siena , Italy

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