Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "variance réalisée"
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ARMA Representation of Integrated and Realized Variances
(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 ...