Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Rohit Deo, Clifford Hurvich, Yi Lu
| Year of publication: |
2006
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|---|---|
| Authors: | Deo, Rohit S. ; Hurvich, Clifford M. ; Lu, Yi |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 131.2006, 1/2, p. 29-58
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| Subject: | Finanzmarkt | Financial market | Volatilität | Volatility | Schätztheorie | Estimation theory | Theorie | Theory | USA | United States | Saisonkomponente | Seasonal component |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003298562