Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Thomas Lux Leonardo Morales-Arias Cristina Sattarhoff
| Year of publication: |
2014
|
|---|---|
| Authors: | Lux, Thomas ; Morales-Arias, Leonardo ; Sattarhoff, Cristina |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 7, p. 532-541
|
| Subject: | realized volatility | multiplicative volatility models | long memory | international volatility forecasting | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Aktienindex | Stock index | ARCH-Modell | ARCH model | Börsenkurs | Share price | Theorie | Theory | Momentenmethode | Method of moments |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011282864