A multiple indicators model for volatility using intra-daily data

A-Tier
Journal: Journal of Econometrics
Year: 2006
Volume: 131
Issue: 1-2
Pages: 3-27

Authors (2)

Engle, Robert F. (New York University (NYU)) Gallo, Giampiero M. (Rimini Centre for Economic Ana...)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:econom:v:131:y:2006:i:1-2:p:3-27
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25