Reference health
Factor High-Frequency Based Volatility (HEAVY) Models
3 of 47 checkable references need attention · checked 2026-08-28
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
References needing attention
does not resolve to a known work10.2307/1392185
does not resolve to a known work10.1093/rfs/5.3.527
does not resolve to a known work10.2307/2329067
The 44 checked references that resolve
resolves10.1093/rfs/hhi016
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
resolves10.1016/j.jmoneco.2010.03.002
The intertemporal capital asset pricing model with dynamic conditional correlations
resolves10.2139/ssrn.2116702
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
resolves10.3982/ecta6495
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
resolves10.2139/ssrn.1154144
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
resolves10.1111/1467-9868.00336
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
resolves10.1111/j.1468-0262.2004.00515.x
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
resolves10.1080/07474939208800229
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
resolves10.1016/s0927-5398(03)00004-5
Measuring and modeling systematic risk in factor pricing models using high-frequency data
resolves10.1016/j.jeconom.2010.05.001
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
resolves10.1002/jae.3950040102
The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
resolves10.3386/t0065
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
resolves10.1016/j.jeconom.2011.11.004
The conditional autoregressive Wishart model for multivariate stock market volatility
resolves10.1002/jae.2389
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
resolves10.1016/j.spa.2008.11.004
Microstructure noise in the continuous case: The pre-averaging approach
resolves10.1111/j.1540-6261.1996.tb05201.x
The Conditional CAPM and the Cross‐Section of Expected Returns
resolves10.2139/ssrn.1507090
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
resolves10.1016/j.jeconom.2010.03.034
Volatility forecast comparison using imperfect volatility proxies
resolves10.1093/rfs/hhs073
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
resolves10.1002/jae.1158
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
resolves10.1016/j.jeconom.2017.04.003
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
resolves10.3150/bj/1165269149
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
The 5 references without a DOI — listed, not checked
no DOI — not checkedref2
no DOI — not checkedref10
no DOI — not checkedref30
no DOI — not checkedref35
no DOI — not checkedref51
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