An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371): Difference between revisions
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Revision as of 23:57, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integrated heteroscedastic autoregressive model for forecasting realized volatilities |
scientific article |
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An integrated heteroscedastic autoregressive model for forecasting realized volatilities (English)
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29 July 2016
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conditional heteroscedasticity
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fractional integration
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HAR model
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high frequency data
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long-memory
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volatility forecasting
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