A novel time-varying FIGARCH model for improving volatility predictions (Q2669287)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A novel time-varying FIGARCH model for improving volatility predictions |
scientific article |
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A novel time-varying FIGARCH model for improving volatility predictions (English)
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9 March 2022
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GARCH
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FIGARCH
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long memory
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Caputo fractional derivative
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Brent
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S\&P 500
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