International Review of Economics & Finance · 2021 · 46 citations · 60 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsTime Series AnalysisAsset Pricing EmpiricsForecast EvaluationImplied VolatilityTime Series ForecastingVolatility AnalysisVolatility ModelingFinancial Market VolatilityImplied Volatility EstimationImplied Volatility ForecastingTime Series Volatility ModelingVolatilityVolatility ForecastingVolatility Modelling
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A Simple Approximate Long-Memory Model of Realized Volatility
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