Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching

Thomas Lux and Taisei Kaizoji ()

Journal of Economic Dynamics and Control, 2007, vol. 31, issue 6, pages 1808-1843

Date: 2007
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Working Paper: Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching (2006)
Working Paper: Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:dyncon:v:31:y:2007:i:6:p:1808-1843

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