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  • ARMA Representation of Integrated and Realized Variances 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2002)
    This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as ...