Realized volatility forecast of stock index under structural breaks
Year of publication: |
2015
|
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Authors: | Yang, Ke ; Chen, Langnan ; Tian, Fengping |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 1, p. 57-82
|
Subject: | realized volatility | ARFIMAX-FIGARCH model | structural breaks | combination forecasts | estimation window | Strukturbruch | Structural break | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
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