Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes
| Year of publication: |
2012
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|---|---|
| Authors: | Louzis, Dimitrios P. ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos-Paul |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 44.2012, 25/27, p. 3533-3550
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| Subject: | Aktienindex | Stock index | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | ARMA-Modell | ARMA model | USA | United States | 1997-2006 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009619742