Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martin Martens; Dick van Dijk; Michiel de Pooter

Year of publication:	2004
Authors:	Martens, Martin ; Dijk, Dick van ; Pooter, Michiel de
Publisher:	Amsterdam [u.a.]
Subject:	Börsenkurs \| Share price \| Volatilität \| Volatility \| Strukturbruch \| Structural break \| Zeitreihenanalyse \| Time series analysis \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| ARMA-Modell \| ARMA model

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