References
- Corsi, F. (2008) A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics, 7, 174–96. doi:10.1093/jjfinec/nbp001
- Diebold, F. and Yilmaz, K. (2009) Measuring financial asset return and volatility spillovers, with application to global equity markets, Economic Journal, 119, 158–71.
- Engle, R., Gallo, G. and Velucchi, M. (2012) Volatility spillovers in East Asian financial markets: a MEM-based approach, Review of Economics and Statistics, 94, 222–23. doi:10.1162/REST_a_00167
- Engle, R., Ito, T. and Lin, W. (1990) Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica, 58, 525–42. doi:10.2307/2938189
- Giacomini, R. and White, H. (2006) Tests of conditional predictive ability, Econometrica, 74, 1545–78. doi:10.1111/j.1468-0262.2006.00718.x
- Jung, R. and Maderitsch, R. (forthcoming) Structural breaks in volatility spillovers between international financial markets: contagion or mere interdependence? Journal of Banking and Finance. doi:10.1016/j.jbankfin.2013.12.023
- Shephard, N. and Sheppard, K. (2009) Realising the Future: Forecasting with High Frequency Based Volatility (Heavy) Models, Department of Economics Discussion Paper Series, University of Oxford, Oxford.
- Zhang, L., Mykland, P. and Aït-Sahalia, Y. (2005) A tale of two time scales: determining integrated volatility with noisy high frequency data, Journal of The American Statistical Association, 100, 1394–411. doi:10.1198/016214505000000169
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112440/MPU-Jenni-AI-ECONOMICS.png"})