Forecasting realized volatility with wavelet decomposition
Year of publication: |
2023
|
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Authors: | Souropanis, Ioannis ; Vivian, Andrew |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 74.2023, p. 1-25
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Subject: | Macroeconomic predictors | Realized volatility | Technical indicators | Volatility forecasting | Wavelet decomposition | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Wechselkurs | Exchange rate | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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