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The Effects of Interest Rate Movements on Assets’ Conditional Second Moments. (2009). Palandri, Alessandro.
In: CREATES Research Papers.
RePEc:aah:create:2009-32.

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  1. On the predictability of model-free implied correlation. (2016). Skintzi, Vasiliki ; Refenes, Apostolos ; Markopoulou, Chryssa .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:527-547.

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References

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  9. Engle, R.F. and J.G. Rangel (2008), The Spline-GARCH Model for Low-Frequency Volatility and its Global Macroeconomic Causes, Review of Fimamcial Studies 21, 1187-1222.

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