Forecasting realised volatility using ARFIMA and HAR models
Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas and Mike Tsionas
| Year of publication: |
2019
|
|---|---|
| Authors: | Izzeldin, Marwan ; Hassan, M. Kabir ; Pappas, Vasileios ; Tsionas, Efthymios G. |
| Subject: | ARFIMA | HAR | High-frequency data | Market conditions | Market sectors | Realised variance | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARMA-Modell | ARMA model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1600713 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194811