Volatility forecasting : long memory, regime switching and heteroscedasticity
Feng Ma, Xinjie Lu, Ke Yang and Yaojie Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Ma, Feng ; Lu, Xinjie ; Yang, Ke ; Zhang, Yaojie |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 38, p. 4151-4163
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| Subject: | heteroscedasticity | long memory | realized volatility | regime switching | Volatility forecasting | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1589645 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012196974