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Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching

Lux, Thomas (contributor); Kaizoji, Taisei (contributor) - 2006

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …