Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2007

Volume: 31

Issue: 6

Pages: 1808-1843

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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