Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching

Journal of Economic Dynamics and Control

Volumn 31, Issue 6, 2007, Pages 1808-1843

  Lux, Thomas ^a   Kaizoji, Taisei ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b INTERNATIONAL CHRISTIAN UNIVERSITY   (Japan)

Author keywords

Forecasting; Long memory models; Volatility; Volume

Indexed keywords

EID: 34247578666     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.01.010     Document Type: Article

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