Juha Kotkatvuori-Örnberg

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In this study 10-minute frequency realized variance series are used to forecast the volatility of S&P 500 index (SPX) daily returns. The logarithm-transformed realized variances are modeled directly in the AR(FI)MA model specification in which the structure of the model is optimized using the AICc criterion. As reported in previous literature, the(More)
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