Component-wise representations of long-memory models and volatility prediction
Year of publication: |
2016
|
---|---|
Authors: | Proietti, Tommaso |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 668-692
|
Subject: | Fractional equal-root IMA model | fractional lag models | model confidence set | realized volatility | volatility components | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | ARCH-Modell | ARCH model |
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