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ASYMMETRIES, BREAKS, AND LONG-RANGE DEPENDENCE: AN ESTIMATION FRAMEWORK FOR TIME SERIES OF DAILY REALIZED VOLATILITY ERIC HILLEBRAND AND MARCELO C. MEDEIROS A BSTRACT. We study the simultaneous occurrence of long memory
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Document Date: 2011-09-21 09:16:13
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Company
Diebold /
BT /
McDermott /
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Currency
cent /
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Holiday
Assumption /
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IndustryTerm
finance /
hidden layer neural network /
neural network /
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MarketIndex
Dow 30 /
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Person
Var /
MARCELO C. MEDEIROS /
ERIC HILLEBRAND /
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Position
General /
rt /
model for σt /
model /
returns rt /
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Technology
neural network /
simulation /
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SocialTag
Statistics
Autoregressive conditional heteroskedasticity
Volatility
Stochastic volatility
Realized kernel
Realized variance
Mathematical finance
Financial economics
Finance