Forecasting risk via realized GARCH, incorporating the realized range
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DOI: 10.1080/14697688.2015.1079641
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- Shay Kee Tan & Kok Haur Ng & Jennifer So-Kuen Chan, 2022. "Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models," Mathematics, MDPI, vol. 11(1), pages 1-24, December.
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