Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
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DOI: 10.1016/j.jempfin.2015.08.010
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- Hualing Lin & Qiubi Sun & Sheng-Qun Chen, 2020. "Reducing Exchange Rate Risks in International Trade: A Hybrid Forecasting Approach of CEEMDAN and Multilayer LSTM," Sustainability, MDPI, vol. 12(6), pages 1-19, March.
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More about this item
Keywords
GARCH; FIGARCH; Conditional heteroscedasticity; Stationarity; Persistence; Forecasting;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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