Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations

DOI10.1016/j.csda.2010.03.005zbMath1284.91590MaRDI QIDQ2445719

Thomas C. H. Lux, Leonardo Morales-Arias

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.03.005

zbMATH Keywords

long memory; international volatility forecasting; multiplicative volatility models; Student-\(t\) innovations

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

91B70: Stochastic models in economics

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