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

Thomas Lux, Leonardo Morales-Arias. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations. Computational Statistics & Data Analysis, 54(11):2676-2692, 2010. [doi]

Authors

Thomas Lux

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Leonardo Morales-Arias

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