Modeling the Variance of Return Intervals Toward Volatility Prediction
DOI10.1111/jtsa.12518zbMath1450.62116OpenAlexW2994898967WikidataQ126564814 ScholiaQ126564814MaRDI QIDQ5121008
Isaac Blackhurst, Yan Sun, Guang-Hua Lian, Jennifer Loveland, Zu-di Lu
Publication date: 16 September 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/436478/1/Int_GARCH_jtsa_1_final.pdf
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)
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