Realized Wavelet Jump-GARCH Model: Can Wavelet...

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Realized Wavelet Jump-GARCH Model: Can Wavelet Decomposition of Volatility Improve its Forecasting?

Barunik, Jozef, Vacha, Lukas
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Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2035353
File:
PDF, 692 KB
english, 2012
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