Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis
Qizhi Tao, Yu Wei, Jiapeng Liu, Ting Zhang
| Year of publication: |
2018
|
|---|---|
| Authors: | Tao, Qizhi ; Wei, Yu ; Liu, Jiapeng ; Zhang, Ting |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 54.2018, p. 143-153
|
| Subject: | ARFIMA-RV | HAR-RV | MCS test | Multifractal volatility | Realized volatility | Volatilität | Volatility | Theorie | Theory | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2017.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012033354