Comparing predictive accuracy under long memory, with an application to valatility forecasting
Robinson Kruse, Christian Leschinski, Michael Will
| Year of publication: |
2019
|
|---|---|
| Authors: | Kruse, Robinson ; Leschinski, Christian ; Will, Michael |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 2, p. 180-228
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| Subject: | Diebold–Mariano test | equal predictive accuracy | long memory | long-run variance estimation | realized volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054436