Rolling-sampled parameters of ARCH and Levy-stable models
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/00036840600994039
Reference89 articles.
1. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
2. Intraday periodicity and volatility persistence in financial markets
3. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
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