Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946): Difference between revisions

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scientific article; zbMATH DE number 7551066

Language	Label	Description	Also known as
English	Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility	scientific article; zbMATH DE number 7551066

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instance of

scholarly article

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title

Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (English)

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DOI

10.1080/03610918.2017.1414250

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Communications in Statistics - Simulation and Computation

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publication date

30 June 2022

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Mathematics Subject Classification ID

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cointegration

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HAR model

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high frequency data

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long-memory

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volatility forecasting

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describes a project that uses

Matlab

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610918.2017.1414250

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OpenAlex ID

W2776710930

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cites work

On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.

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Exploiting the errors: a simple approach for improved volatility forecasting

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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

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On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

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An integrated heteroscedastic autoregressive model for forecasting realized volatilities

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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

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The Volatility of Realized Volatility

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Threshold bipower variation and the impact of jumps on volatility forecasting

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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The Wishart autoregressive process of multivariate stochastic volatility

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The Model Confidence Set

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Infinite-order, long-memory heterogeneous autoregressive models

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A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Realized Volatility: A Review

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Sitelinks

Mathematics(1 entry)

mardi Publication:5085946

@@ Property / describes a project that uses @@
+Matlab
@@ Property / describes a project that uses: Matlab / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610918.2017.1414250
+Normal rank
@@ Property / OpenAlex ID @@
+W2776710930
@@ Property / OpenAlex ID: W2776710930 / rank @@
+Normal rank
@@ Property / cites work @@
+On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
+Normal rank
@@ Property / cites work @@
+Exploiting the errors: a simple approach for improved volatility forecasting
+Normal rank
@@ Property / cites work @@
+The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
+Normal rank
@@ Property / cites work @@
+On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
+Normal rank
@@ Property / cites work @@
+An integrated heteroscedastic autoregressive model for forecasting realized volatilities
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
+Normal rank
@@ Property / cites work @@
+The Volatility of Realized Volatility
@@ Property / cites work: The Volatility of Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+Infinite-order, long-memory heterogeneous autoregressive models
+Normal rank
@@ Property / cites work @@
+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
+Normal rank
@@ Property / cites work @@
+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
+Normal rank
@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
+Normal rank