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: Contribution to journalArticleAcademicpeer-review

108 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)282-303
Number of pages22
JournalInternational Journal of Forecasting
Issue number2
Publication statusPublished - 2009

Research programs

  • EUR ESE 31

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