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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …
Persistent link: https://www.econbiz.de/10010295136
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - Institut für Volkswirtschaftslehre, … - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …
Persistent link: https://www.econbiz.de/10005082828
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - Institut für Volkswirtschaftslehre, … - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …
Persistent link: https://www.econbiz.de/10005082914
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Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models
Kaizoji, Taisei; Lux, Thomas - Society for Computational Economics - SCE - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …
Persistent link: https://www.econbiz.de/10005706539