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Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Louzis, Dimitrios P.
;
Xanthopoulos-Sisinis, Spyros
; …
- In:
Applied economics
44
(
2012
)
25/27
,
pp. 3533-3550
Persistent link: https://www.econbiz.de/10009619742
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Model evaluation based on residual analysis of two similar models
Granger, C. W. J.
;
Jeon, Yongil
- In:
Applied economics
32
(
2000
)
7
,
pp. 861-867
Persistent link: https://www.econbiz.de/10001521994
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