Forecasting volatility and volume in the Tokyo stock market: the advantage of long memory models

Thomas Lux and Taisei Kaizoji ()

No 2004,05, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Keywords: forecasting; long memory models; volume; volatility (search for similar items in EconPapers)
JEL-codes: G12 C53 C22 (search for similar items in EconPapers)
Date: 2004
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