FORECASTING VOLATILITY AND VOLUME IN THE TOKYO STOCK MARKET: LONG MEMORY, FRACTALITY AND REGIME SWITCHING

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THOMAS L.; TAISEI KAIZOJI

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC DYNAMICS AND CONTROL Year:2007 | Volume:31 | Issue:6 Page(s): 1808-1843

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Title

FORECASTING VOLATILITY AND VOLUME IN THE TOKYO STOCK MARKET: LONG MEMORY, FRACTALITY AND REGIME SWITCHING

Author(s)

THOMAS L. | TAISEI KAIZOJI | Issue Writer Certificate

Keywords

Not Registered.

Abstract

Cites

INVESTIGATION OF MULTIFRACTALY MODELS IN FINANCE
AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE

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APA: Copy

THOMAS, L., & TAISEI, KAIZOJI. (2007). FORECASTING VOLATILITY AND VOLUME IN THE TOKYO STOCK MARKET: LONG MEMORY, FRACTALITY AND REGIME SWITCHING. JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 31(6), 1808-1843. SID. https://sid.ir/paper/562181/en

Vancouver: Copy

THOMAS L., TAISEI KAIZOJI. FORECASTING VOLATILITY AND VOLUME IN THE TOKYO STOCK MARKET: LONG MEMORY, FRACTALITY AND REGIME SWITCHING. JOURNAL OF ECONOMIC DYNAMICS AND CONTROL[Internet]. 2007;31(6):1808-1843. Available from: https://sid.ir/paper/562181/en

IEEE: Copy

L. THOMAS, and KAIZOJI TAISEI, “FORECASTING VOLATILITY AND VOLUME IN THE TOKYO STOCK MARKET: LONG MEMORY, FRACTALITY AND REGIME SWITCHING,” JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, vol. 31, no. 6, pp. 1808–1843, 2007, [Online]. Available: https://sid.ir/paper/562181/en

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