multiple indicators model for volatility using intra-daily data
By: Robert F. Engle, Giampiero M. Gallo.
Contributors: Gallo, Giampiero M.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 10117.; Working paper series (National Bureau of Economic Research) -- working paper no. 10117.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 27
Subjects: Securities -- Prices -- Mathematical models; Investments -- Mathematical models; Risk -- Mathematical models
Notes: "December 2003."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).