Forecasting realised volatility using ARFIMA and HAR models
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Publication:5235453
DOI10.1080/14697688.2019.1600713zbMath1429.62472OpenAlexW2941947431WikidataQ127971419 ScholiaQ127971419MaRDI QIDQ5235453
Marwan Izzeldin, Vasileios Pappas, Mike G. Tsionas, M. Kabir Hassan
Publication date: 11 October 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/133284/1/Volatility_Forecasting_Paper_QF.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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