The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The long memory HEAVY process: modeling and forecasting financial volatility |
scientific article |
Statements
The long memory HEAVY process: modeling and forecasting financial volatility (English)
0 references
24 January 2022
0 references
asymmetries
0 references
financial crisis
0 references
forecasting
0 references
HEAVY model
0 references
high-frequency data
0 references
long memory
0 references
power transformations
0 references
realized variance
0 references
risk management
0 references
structural breaks
0 references
0 references
0 references
0 references
0 references
