Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations
Year of publication: |
2009-07
|
---|---|
Authors: | Lux, Thomas ; Morales-Arias, Leonardo |
Institutions: | Institut für Weltwirtschaft (IfW) |
Subject: | Multiplicative volatility models | long memory | Student-t innovations | international volatility forecasting |
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