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's dynamic properties may lead to misestimation of the intraday spot volatility. …
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Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...
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When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
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This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …
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