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19-052/IV - Observation-driven Models for Realized Variances and Overnight Returns


  • Authors
    Anne Opschoor, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    July 31, 2019
  • Keywords
    overnight volatility, realized variance, F distribution, score-driven dynamics
  • JEL
    C32, C58