Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
Year of publication: |
2009-11
|
---|---|
Authors: | PREVE, Daniel ; ERIKSSON, Anders ; YU, Jun |
Institutions: | School of Economics, Singapore Management University |
Subject: | Autoregression | nonlinear/non-Gaussian time series | realized volatility | semiparametric model | volatility forecast |
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