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Keywords: Long memory
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (1): 4–32.
Published: 28 January 2014
...Harald Kinateder; Niklas Wagner Purpose – The paper aims to model multiple-period market risk forecasts under long memory persistence in market volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model with potentially...
