An integrated heteroscedastic autoregressive model for forecasting realized volatilities
type: Item
instance of: scholarly article
title: An integrated heteroscedastic autoregressive model for forecasting realized volatilities
zbMATH Open document ID: 1342.62146
author: Soojin Cho
author: Dong Wan Shin
published in: Journal of the Korean Statistical Society
publication date: 2016-07-29T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6607819
zbMATH Keywords: conditional heteroscedasticity
zbMATH Keywords: fractional integration
zbMATH Keywords: HAR model
zbMATH Keywords: high frequency data
zbMATH Keywords: long-memory
zbMATH Keywords: volatility forecasting
MaRDI profile type: Publication
full work available at URL: j.jkss.2015.12.004
OpenAlex ID: W2261386584
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DOI: 10.1016/J.JKSS.2015.12.004
description: scientific article; zbMATH DE number 6607819