Realized Wavelet Jump-GARCH Model: Can Wavelet Decomposition of Volatility Improve its Forecasting?
Barunik, Jozef, Vacha, LukasYear:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2035353
File:
PDF, 692 KB
english, 2012