Realized range volatility forecasting : dynamic features and predictive variables
Year of publication: |
November 2015
|
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Authors: | Caporin, Massimiliano ; Velo, Gabriel G. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 98-112
|
Subject: | Realized range volatility | Realized volatility | Long-memory | Volatility forecasting | Macroeconomic variables | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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