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

A-Tier

Journal: Journal of Econometrics

Year: 2006

Volume: 131

Issue: 1-2

Pages: 29-58

Authors (3)

Deo, Rohit (not in RePEc) Hurvich, Clifford (New York University (NYU)) Lu, Yi (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count