Long-memories and mean breaks in realized volatilities
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504851.2015.1013605
Reference11 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
2. Modeling and Forecasting Realized Volatility
3. Estimating Multiple Breaks One at a Time
4. Modelling structural breaks, long memory and stock market volatility: an overview
5. Long memory versus structural breaks in modeling and forecasting realized volatility
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