Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
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- Yuanhua Feng & Chen Zhou, 2013. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE 59, Paderborn University, CIE Center for International Economics.
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More about this item
KeywordsApproximately best linear predictor; Realized volatility; Financial forecasting; Long memory; Nonparametric scale function; Semi-FI-Log-ACD;
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