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

@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M20
@@ Property / Mathematics Subject Classification ID: 62M20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6607819
@@ Property / zbMATH DE Number: 6607819 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional heteroscedasticity
@@ Property / zbMATH Keywords: conditional heteroscedasticity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fractional integration
@@ Property / zbMATH Keywords: fractional integration / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+HAR model
@@ Property / zbMATH Keywords: HAR model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high frequency data
@@ Property / zbMATH Keywords: high frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+long-memory
@@ Property / zbMATH Keywords: long-memory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility forecasting
@@ Property / zbMATH Keywords: volatility forecasting / rank @@
+Normal rank

Revision as of 08:41, 1 July 2023