A mixture multiplicative error model for realized volatility

Journal of Financial Econometrics

Volumn 4, Issue 4, 2006, Pages 594-616

  Lanne, Markku ^a  

^a UNIVERSITY OF JYVÄSKYLÄ   (Finland)

Author keywords

Gamma distribution; Mixture model; Realized volatility

Indexed keywords

EID: 33750293538     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbl001     Document Type: Article

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