Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Cristina Sattarhoff, Thomas Lux
| Year of publication: |
2023
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|---|---|
| Authors: | Sattarhoff, Cristina ; Lux, Thomas |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 4, p. 1678-1697
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| Subject: | International volatility forecasting | Long memory | Multifractal random walk | Multiplicative volatility models | Realized volatility | Volatilität | Volatility | Aktienindex | Stock index | Random Walk | Random walk | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Wechselkurs | Exchange rate | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465344