Improving (E)GARCH forecasts with robust realized range measures : evidence from international markets
Year of publication: |
October 2017
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Authors: | Mendes, Beatriz Vaz de Melo ; Accioly, Victor Bello |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 41.2017, 4, p. 631-658
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Subject: | (E)GARCH-X and realized GARCH models | Realized range | ARFIMA model | Two-step GARCH-X forecasts | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model |
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