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Search: subject:"Hyperbolic decay"
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A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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2
Age-coherent extensions of the Lee-Carter model
Gao, Guangyuan
;
Shi, Yanlin
- In:
Scandinavian actuarial journal
2021
(
2021
)
10
,
pp. 998-1016
Persistent link: https://www.econbiz.de/10012696898
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3
Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
Kawakatsu, Hiroyuki
- In:
Journal of econometric methods
10
(
2021
)
1
,
pp. 33-52
Persistent link: https://www.econbiz.de/10012437811
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4
Trading frequency and volatility clustering
Xue, Yi
;
Gençay, Ramazan
- In:
Journal of Banking & Finance
36
(
2012
)
3
,
pp. 760-773
Volatility clustering, with autocorrelations of the
hyperbolic
decay
rate, is unquestionably one of the most important …
Persistent link: https://www.econbiz.de/10010577963
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