Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
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Publication:292001
DOI10.1016/J.JECONOM.2005.01.003zbMath1337.62355OpenAlexW2034161641MaRDI QIDQ292001
Clifford M. Hurvich, Yi Lu, Rohit S. Deo
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.003
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70)
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