Martens, M., van Dijk, D. and de Pooter, M. (2009). Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements International Journal of Forecasting, 25(2):282--303.
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Affiliated author
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Publication year2009
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JournalInternational Journal of Forecasting