The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693)
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scientific article; zbMATH DE number 7462429
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| English | The long memory HEAVY process: modeling and forecasting financial volatility |
scientific article; zbMATH DE number 7462429 |
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The long memory HEAVY process: modeling and forecasting financial volatility (English)
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24 January 2022
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asymmetries
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financial crisis
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forecasting
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HEAVY model
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high-frequency data
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long memory
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power transformations
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realized variance
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risk management
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structural breaks
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0.7871386408805847
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0.77215975522995
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0.7638809084892273
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0.7637776136398315
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