Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching

Taisei Kaizoji () and Thomas Lux

Working Papers from Warwick Business School, Financial Econometrics Research Centre

Date: Written

Downloads: (external link)
http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr ... rseries/fwp06-20.pdf (application/pdf)

Related works:
Working Paper: Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching (2006)
Journal Article: Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wbs:wpaper:wp06-20

Access Statistics for this paper

More papers in Working Papers from Warwick Business School, Financial Econometrics Research Centre
Contact information at EDIRC.
Series data maintained by Ingmar Nolte ().