Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility (Q4687528)
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scientific article; zbMATH DE number 6952437
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| English | Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility |
scientific article; zbMATH DE number 6952437 |
Statements
Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility (English)
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12 October 2018
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multiplicative volatility models
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long memory
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international volatility forecasting
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out-of-sample performance
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0.89940506
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0.89488953
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0.8896454
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0.88467073
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0.87934184
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0.8745363
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