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Keywords: Realised volatility
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Journal Articles
Journal:
Review of Behavioral Finance
Review of Behavioral Finance (2024) 16 (1): 17–38.
Published: 02 November 2022
.../approach Data evidence allows for the parameter estimation of a Jacobi diffusion process that models the demand share and leads the forecast of speculative bubbles and realised volatility. Validation of outcomes is obtained through the dynamic regression with autoregressive integrated moving average...
Includes: Supplementary data
