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Forecasting volatility of stock indices with ARCH model

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Box-Jenkins modeling of Greek stock prices data

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Threshold models in time series analysis : some reflections

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Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …