Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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Publication:292001

DOI10.1016/j.jeconom.2005.01.003zbMath1337.62355OpenAlexW2034161641MaRDI QIDQ292001

Clifford M. Hurvich, Yi Lu, Rohit S. Deo

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.003




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