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Asymmetry and long memory in volatility modelling

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Forecasting realized volatility with linear and nonlinear models

McAleer, Michael; Medeiros, Marcelo C. - 2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

Persistent link: https://www.econbiz.de/10003962167