Volatility forecasting : long memory, regime switching and heteroscedasticity
Year of publication: |
2019
|
---|---|
Authors: | Ma, Feng ; Lu, Xinjie ; Yang, Ke ; Zhang, Yaojie |
Subject: | heteroscedasticity | long memory | realized volatility | regime switching | Volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Kapitaleinkommen | Capital income |
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