Financial volatility forecasting with range-based autoregressive volatility model
Year of publication: |
2011
|
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Authors: | Li, Hongquan ; Hong, Yongmiao |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 8.2011, 2, p. 69-76
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation | Heteroskedastizität | Heteroscedasticity | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
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