An integrated heteroscedastic autoregressive model for forecasting realized volatilities
DOI10.1016/j.jkss.2015.12.004zbMath1342.62146OpenAlexW2261386584MaRDI QIDQ530371
Publication date: 29 July 2016
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2015.12.004
fractional integrationhigh frequency datalong-memoryvolatility forecastingconditional heteroscedasticityHAR model
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Cites Work
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