Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2676-2692

  Lux, Thomas ^b   Morales Arias, Leonardo ^a  

^a UNIVERSITY OF KIEL   (Germany)

^b KIEL INSTITUTE FOR THE WORLD ECONOMY   (Germany)

Author keywords

International volatility forecasting; Long memory; Multiplicative volatility models; Student t innovations

Indexed keywords

ASSET CLASS; BAYESIAN; BAYESIAN UPDATING; FORECASTING CAPABILITY; FORECASTING VOLATILITY; FRACTALITY; GARCH MODELS; GAUSSIANS; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; GENERALIZED METHOD OF MOMENTS; LONG MEMORIES; LONG MEMORY; MEAN ABSOLUTE ERROR; MEAN SQUARED ERROR; ML ESTIMATE; MONTE CARLO SIMULATION; MULTIFRACTAL MODELS; MULTIPLICATIVE VOLATILITY MODELS; REAL ESTATE; REGIME SWITCHING; SECURITY INDICES; T-MODEL; VOLATILITY FORECASTING;

BAYESIAN NETWORKS; COMPUTER SIMULATION; ERRORS; FRACTALS; MAXIMUM LIKELIHOOD ESTIMATION; METHOD OF MOMENTS; MONTE CARLO METHODS; STUDENTS;

FORECASTING;

EID: 77955276756     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.03.005     Document Type: Article

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