Items where Author is "Fruet Dias, Gustavo"

Article

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074 and Schweikert, Karsten (2026) Integrated Variance Estimation for Assets Traded in Multiple Venues. Journal of Econometrics, 255. ISSN 0304-4076

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074, Papailias, Fotis and Scherrer, Cristina (2024) An econometric analysis of volatility discovery. Journal of Business & Economic Statistics, 42 (3). pp. 1095-1106. ISSN 0735-0015

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074, Fernandes, Marcelo and Scherrer, Cristina (2021) Price discovery in a continuous-time setting. Journal of Financial Econometrics, 19 (5). 985–1008. ISSN 1479-8409

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074 and Kapetanios, George (2018) Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202 (1). pp. 75-91. ISSN 0304-4076

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074 (2017) The time-varying GARCH-in-mean model. Economics Letters, 157. pp. 129-132. ISSN 0165-1765

Papailias, Fotis and Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074 (2015) Forecasting long memory series subject to structural change: A two-stage approach. International Journal of Forecasting, 31 (4). pp. 1056-1066. ISSN 0169-2070

Fruet Dias, Gustavo ORCID: https://orcid.org/0000-0001-6428-5074 (2015) Book review: Nonlinear Time Series: Extreme Events and Integer Value Problems. Journal of the American Statistical Association, 110 (512). pp. 1823-1824. ISSN 0162-1459