This paper introduces the class of quasi score-driven (QSD) models. This new class inherits
and extends the basic ideas behind the development of score-driven (SD) models and …

Long memory is an important feature of the volatility of financial returns. We document that
the recently developed Realized GARCH model (Hansen et al., 2012) is insufficient for …

Utilizing real-time newswire data, together with a robustly estimated intraday stochastic
discount factor (SDF), we identify and quantify the economic news that is priced. News …

In this paper, we propose the two-component realized EGARCH (REGARCH-2C) model,
which accommodates the high-frequency information and the long memory volatility through …

Within the framework of Realized GARCH (RealGARCH), different RealGARCH variants
have been proposed for volatility forecasting. The question remains unknown that which …

El objetivo principal de la presente investigación es analizar el impacto de la crisis
financiera global en la dinámica de los mercados accionarios más importantes delos …

In this paper, we propose the Real-Time Realized GARCH model incorporating the high-
frequency intraday information and current return information simultaneously to model and …

We propose three Realized-GARCH-Kernel-type models which do not make the distribution
assumptions on the return disturbance terms. We use this type of model to predict the return …

A method based on various linear and nonlinear state space models used to extract global
stochastic financial trends (GST) out of non-synchronous financial data is introduced. These …

We propose a methodology to include night volatility estimates in the day volatility modeling
problem with high-frequency data in a realized generalized autoregressive conditional …