An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Threshold bipower variation and the impact of jumps on volatility forecasting
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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+Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
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