Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (Q292001)
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scientific article; zbMATH DE number 6591960
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| English | Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment |
scientific article; zbMATH DE number 6591960 |
Statements
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (English)
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10 June 2016
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realized volatility
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long-memory stochastic volatility model
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high-frequency data
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seasonal adjustment
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0.8220362067222595
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0.8113666772842407
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0.8098441362380981
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0.809007465839386
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0.8021996021270752
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