A multiplicative error model with heterogeneous components for forecasting realized volatility
Year of publication: |
2015
|
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Authors: | Han, Heejoon ; Park, Myung D. ; Zhang, Shen |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 3, p. 209-219
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Subject: | realized volatility | multiplicative error model | long-memory property | forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognose | Forecast | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Kointegration | Cointegration |
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