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~person:"Hillebrand, Eric"
~person:"Morales-Arias, Leonardo"
~subject:"long memory"
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long memory
Realized volatility
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international volatility forecasting
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Hillebrand, Eric
Morales-Arias, Leonardo
Asai, Manabu
5
McAleer, Michael
5
Medeiros, Marcelo C.
5
Andersen, Torben G.
4
Bollerslev, Tim
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Feng, Yuanhua
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Martin-Valmayor, Miguel
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Oomen, Roel C. A.
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Shimotsu, Katsumi
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1
Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
Hillebrand, Eric
;
Medeiros, Marcelo C.
-
School of Economics and Management, University of Aarhus
-
2012
effects, in ARMA time series models and apply our modeling framework to daily
realized
volatility. Asymptotic theory for …
Persistent link: https://www.econbiz.de/10010851244
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
Asymmetries, breaks, and long-range dependence: An estimation framework for daily
realized
volatility
Hillebrand, Eric
;
Medeiros, Marcelo C.
-
2010
autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily
realized
volatility … in the paper can be applied to any series with long memory and nonlinearity. We apply the methodology to
realized
…
Persistent link: https://www.econbiz.de/10011807402
Saved in:
4
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:
5
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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