Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

Rohit Deo (), Clifford Hurvich and Yi Lu

Journal of Econometrics, 2006, vol. 131, issue 1-2, 29-58

Date: 2006
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Working Paper: Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:131:y:2006:i:1-2:p:29-58

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