Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429)
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scientific article; zbMATH DE number 6979468
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| English | Combining long memory and level shifts in modelling and forecasting the volatility of asset returns |
scientific article; zbMATH DE number 6979468 |
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (English)
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14 November 2018
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forecasting
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Kalman filter
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long memory processes
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state space modelling
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stochastic volatility
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structural change
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0.8987744
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0.8956824
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0.8947611
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0.89413816
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0.8925746
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0.8848992
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0.88383806
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0.88021064
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