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

Latest revision as of 12:01, 29 July 2024

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

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

Communications in Statistics - Simulation and Computation

0 references

publication date

30 June 2022

0 references

zbMATH Keywords

cointegration

0 references

HAR model

0 references

high frequency data

0 references

long-memory

0 references

volatility forecasting

0 references

describes a project that uses

Matlab

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/03610918.2017.1414250

0 references

cites work

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

0 references

Exploiting the errors: a simple approach for improved volatility forecasting

0 references

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

0 references

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

0 references

An integrated heteroscedastic autoregressive model for forecasting realized volatilities

0 references

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

0 references

The Volatility of Realized Volatility

0 references

Threshold bipower variation and the impact of jumps on volatility forecasting

0 references

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

0 references

The Wishart autoregressive process of multivariate stochastic volatility

0 references

The Model Confidence Set

0 references

Infinite-order, long-memory heterogeneous autoregressive models

0 references

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

0 references

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?

0 references

Realized Volatility: A Review

0 references

Identifiers

DOI

10.1080/03610918.2017.1414250

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

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
@@ links / mardi / name / links / mardi / name @@
+Publication:5085946