Exponential Smoothing, Long Memory and Volatility Prediction
Year of publication: |
2014-07-30
|
---|---|
Authors: | Proietti, Tommaso |
Institutions: | Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia |
Keywords: | Realized Volatility. Signal Extraction. Permanent-Transitory Decomposition. Fractional equal-root IMA model |
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