Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching

Thomas Lux and Taisei Kaizoji ()

No 2006,13, 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: C53 G12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-rmg
Date: Written
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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)
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Persistent link: http://EconPapers.repec.org/RePEc:zbw:cauewp:5160

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