REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

B-Tier

Journal: Journal of Applied Econometrics

Year: 2014

Volume: 29

Issue: 5

Pages: 774-799

Authors (3)

Peter Reinhard Hansen (Copenhagen Business School) Asger Lunde (not in RePEc) Valeri Voev (Aarhus Universitet)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

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