Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Year of publication: |
2023
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Authors: | Sattarhoff, Cristina ; Lux, Thomas |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 4, p. 1678-1697
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Subject: | International volatility forecasting | Long memory | Multifractal random walk | Multiplicative volatility models | Realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Random Walk | Random walk | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Schätzung | Estimation |
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Sattarhoff, Cristina, (2021)
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