A multiplicative error model with heterogeneous components for forecasting realized volatility

Heejoon Han, Myung D. Park and Shen Zhang

Year of publication:	2015
Authors:	Han, Heejoon ; Park, Myung D. ; Zhang, Shen
Published in:	Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 3, p. 209-219
Subject:	realized volatility \| multiplicative error model \| long-memory property \| forecasting \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Kointegration \| Cointegration \| Prognose \| Forecast \| Schätzung \| Estimation

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