Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

MPE Martens, Dick van Dijk, MD de Pooter

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Original languageUndefined/Unknown
Place of Publication3000 DR Rotterdam
Number of pages22
EditionEI reprint reeks EI-1501
Publication statusPublished - 2009

Publication series

SeriesEI reprint reeks
VolumeEI-1501

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