An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371): Difference between revisions
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Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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Property / Mathematics Subject Classification ID: 62M20 / rank | |||
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Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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Property / zbMATH DE Number: 6607819 / rank | |||
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conditional heteroscedasticity | |||
Property / zbMATH Keywords: conditional heteroscedasticity / rank | |||
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fractional integration | |||
Property / zbMATH Keywords: fractional integration / rank | |||
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HAR model | |||
Property / zbMATH Keywords: HAR model / rank | |||
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high frequency data | |||
Property / zbMATH Keywords: high frequency data / rank | |||
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long-memory | |||
Property / zbMATH Keywords: long-memory / rank | |||
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volatility forecasting | |||
Property / zbMATH Keywords: volatility forecasting / rank | |||
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Revision as of 08:41, 1 July 2023
scientific article
Language | Label | Description | Also known as |
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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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