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~person:"Elst, Harry Vander"
~person:"Lux, Thomas"
~subject:"long memory"
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long memory
international volatility forecasting
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Elst, Harry Vander
Lux, Thomas
Asai, Manabu
5
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FloGARCH : Realizing long memory and asymmetries in returns volatility
Elst, Harry Vander
-
Nationale Bank van België/Banque national de Belqique (BNB)
-
2015
frequency returns and
realized
measures and are sufficiently flexible to capture long memory as well as asymmetries related to …
Realized
GARCH models. …
Persistent link: https://www.econbiz.de/10011272800
Saved in:
2
A Markov-switching multifractal approach to forecasting
realized
volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
-
2011
for
realized
volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by …
Persistent link: https://www.econbiz.de/10010278826
Saved in:
3
Forecasting daily variations of stock index returns with a multifractal model of
realized
volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
Saved in:
4
A Markov-switching Multifractal Approach to Forecasting
Realized
Volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
-
Institut für Weltwirtschaft (IfW)
-
2011
for
realized
volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by …
Persistent link: https://www.econbiz.de/10009351451
Saved in:
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