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]
@article{LuxM10,
title = {Forecasting volatility under fractality, regime-switching, long memory and student-t innovations},
author = {Thomas Lux and Leonardo Morales-Arias},
year = {2010},
doi = {10.1016/j.csda.2010.03.005},
url = {http://dx.doi.org/10.1016/j.csda.2010.03.005},
researchr = {https://researchr.org/publication/LuxM10},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {54},
number = {11},
pages = {2676-2692},
}