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Search: subject:"VecARFIMA"
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Varneskov, Rasmus Tangsgaard
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subject:"varfima"
(12 results)
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The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
Varneskov, Rasmus Tangsgaard
-
School of Economics and Management, University of Aarhus
-
2010
(
vecARFIMA
) model is introduced to control for possible endogeneity issues. This model is compared to a vecHAR specification, re …
Persistent link: https://www.econbiz.de/10008462019
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