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~person:"Morales-Arias, Leonardo"
~subject:"Share price"
~subject:"long memory"
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long memory
international volatility forecasting
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multiplicative volatility models
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Morales-Arias, Leonardo
Gupta, Rangan
18
Ma, Feng
15
Pierdzioch, Christian
9
Zhang, Yaojie
9
Wang, Jiqian
8
Bollerslev, Tim
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Medeiros, Marcelo C.
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Lux, Thomas
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Molnár, Peter
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Sattarhoff, Cristina
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Barunik, Jozef
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Salisu, Afees A.
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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:
2
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:
3
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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