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 journal › Article › Academic › peer-review

106 Citations (Scopus)

Original language	Undefined/Unknown
Pages (from-to)	282-303
Number of pages	22
Journal	International Journal of Forecasting
Volume	25
Issue number	2
DOIs	https://doi.org/10.1016/j.ijforecast.2009.01.010
Publication status	Published - 2009

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

author = "MPE Martens and {van Dijk}, Dick and {de Pooter}, MD",

year = "2009",

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language = "Undefined/Unknown",

volume = "25",

pages = "282--303",

journal = "International Journal of Forecasting",

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T1 - Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

AU - Martens, MPE

AU - van Dijk, Dick

AU - de Pooter, MD

PY - 2009

Y1 - 2009

U2 - 10.1016/j.ijforecast.2009.01.010

DO - 10.1016/j.ijforecast.2009.01.010

M3 - Article

SN - 0169-2070

VL - 25

SP - 282

EP - 303

JO - International Journal of Forecasting

JF - International Journal of Forecasting

IS - 2

ER -