Forecasting Realized Volatility with wavelet decomposition
Year of publication: |
[2021]
|
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Authors: | Souropanis, Ioannis ; Vivian, Andrew |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Wechselkurs | Exchange rate | Prognose | Forecast |
Extent: | 1 Online-Ressource (48 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 29, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3701590 [DOI] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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