Regimes and long memory in realized volatility

DOI10.1515/SNDE-2012-0018MaRDI QIDQ5881709zbMATH OpenOpenAlexFDO

Authors Elena Goldman, Hiroki Tsurumi, Jun Wang

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0018

zbMATH Keywords

Bayesian model selectionforecastingrealized volatilitythreshold regimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(8)

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