QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

By Christian Francq, Le Quyen Thieu. Econometric Theory, 2015

77 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4a329ea6f169c54d63b1b2eb1dea739bbbadcef2

Citations in the corpus

• Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2020, unknown): “See also Francq and Thieu (2019).”