Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Year of publication: |
April-June 2015
|
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Authors: | Feng, Yuanhua ; Chen Zhou |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 2, p. 349-363
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Subject: | Approximately best linear predictor | Realized volatility | Financial forecasting | Long memory | Nonparametric scale function | Semi-FI-Log-ACD | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzmarkt | Financial market | Volatilität | Volatility |
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