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20042025
most citedBayesian Analysis of Value-at-Risk with Product Partition Models

4 citations · 7 across the 8 of their papers we have counts for

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Showing 2018Show all

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q-fin.TR2018

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1

The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both…