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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
Dijk, Dick van
;
Pooter, Michiel de
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
Saved in:
2
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
van Dijk, Dick
;
de Pooter, Michiel
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10008231949
Saved in:
3
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
van Dijk, Dick
;
de Pooter, Michiel
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-304
Persistent link: https://www.econbiz.de/10008892141
Saved in:
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