Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Year of publication: |
2010
|
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Authors: | Kumar, Manish |
Published in: |
Journal of industrial engineering and management : JIEM. - Terrassa : Universitat Politècnica de Catalunya (UPC), ISSN 2013-0953, ZDB-ID 2495074-9. - Vol. 3.2010, 1, p. 199-220
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Subject: | realized volatility | forecasting | time series analysis | autoregressive model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3926/jiem.v3n1.p199-220 [DOI] 10.3926/jiem..v3n1.p199-220 [DOI] hdl:10419/188420 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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