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Forecasting realised volatility using ARFIMA and HAR models - MaRDI portal

Forecasting realised volatility using ARFIMA and HAR models (Q5235453)

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scientific article; zbMATH DE number 7116174
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English
Forecasting realised volatility using ARFIMA and HAR models
scientific article; zbMATH DE number 7116174

    Statements

    title
    Forecasting realised volatility using ARFIMA and HAR models (English)
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    author
    Marwan Izzeldin
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    M. Kabir Hassan
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    Vasileios Pappas
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    Mike G. Tsionas
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    publication date
    11 October 2019
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    zbMATH Keywords
    high-frequency data
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    market conditions
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    market sectors
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    realised variance
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    ARFIMA
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B84
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    zbMATH DE Number
    7116174
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    OpenAlex ID
    W2941947431
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    Wikidata QID
    Q127971419
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