Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Year of publication: |
2009
|
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Authors: | Lux, Thomas ; Morales-Arias, Leonardo |
Publisher: |
Kiel : Kiel Inst. for the World Economy |
Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Aktienmarkt | Stock market | Japan | 1990-2008 |
Extent: | Online-Ressource (PDF-Datei: 35 S.) |
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Series: | Kiel working paper. - Kiel : [Verlag nicht ermittelbar], ISSN 1862-1155, ZDB-ID 2107612-1. - Vol. 1532 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/28360 [Handle] |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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