Volatility conditional on price trends (Q3564812)

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Volatility conditional on price trends
scientific article

    Statements

    title
    Volatility conditional on price trends (English)
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    author
    Gilles Zumbach
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    publication date
    26 May 2010
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    zbMATH Keywords
    trend effect
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    ARCH process
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    volatility forecasting
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    long memory
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    Identifiers

    zbMATH DE Number
    5712377
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