Range-based volatility forecasting : a multiplicative component conditional autoregressive range model
Year of publication: |
2020
|
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Authors: | Xie, Haibin |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 5, p. 43-65
|
Subject: | long memory | range-based volatility | forecasting | multiplicative component conditional autoregressive range (MCCARR) | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
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