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04-067/4 - Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity


  • Authors
    Martin Martens, Faculty of Economics, Erasmus Universiteit Rotterdam; Dick van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam; Michiel de Pooter, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    June 9, 2004
  • Keywords
    Realized volatility; high-frequency data; long memory; day-of-the-week effect; leverage effect; volatility forecasting; smooth transition
  • JEL
    C22; C53; G15