Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429): Difference between revisions

Latest revision as of 10:03, 17 July 2024

scientific article; zbMATH DE number 6979468

Language	Label	Description	Also known as
English	Combining long memory and level shifts in modelling and forecasting the volatility of asset returns	scientific article; zbMATH DE number 6979468

Statements

instance of

scholarly article

0 references

title

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (English)

0 references

zbMATH Open document ID

1406.62151

0 references

DOI

10.1080/14697688.2017.1329591

0 references

0 references

0 references

0 references

14 November 2018

0 references

full work available at URL

https://hdl.handle.net/2144/26709

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

forecasting

0 references

Kalman filter

0 references

long memory processes

0 references

state space modelling

0 references

stochastic volatility

0 references

structural change

0 references

MaRDI profile type

MaRDI publication profile

0 references

OpenAlex ID

W3125360608

0 references

cites work

The Distribution of Realized Exchange Rate Volatility

0 references

Modeling and Forecasting Realized Volatility

0 references

Q4845377

0 references

The Hurst effect under trends

0 references

Time series: theory and methods.

0 references

State space modeling of long-memory processes

0 references

Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination

0 references

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

0 references

Long memory and regime switching

0 references

Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

On the forecasting ability of ARFIMA models when infrequent breaks occur

0 references

Tests of Conditional Predictive Ability

0 references

AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

0 references

When long memory meets the Kalman filter: a comparative study

0 references

Estimation of fractional integration in the presence of data noise

0 references

Q4840212

0 references

Consistent ranking of volatility models

0 references

ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

0 references

The Model Confidence Set

0 references

Fractional differencing

0 references

Indirect estimation of ARFIMA and VARFIMA models

0 references

MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS

0 references

Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series

0 references

ARMA representation of integrated and realized variances

0 references

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

0 references

Spurious number of breaks

0 references

Volatility forecast comparison using imperfect volatility proxies

0 references

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

0 references

Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

0 references

Predictability of stock returns and asset allocation under structural breaks

0 references

A Test Against Spurious Long Memory

0 references

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

0 references

Bayesian methods for change-point detection in long-range dependent processes

0 references

ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4554429

@@ Property / OpenAlex ID @@
+W3125360608
@@ Property / OpenAlex ID: W3125360608 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Q4845377
@@ Property / cites work: Q4845377 / rank @@
+Normal rank
@@ Property / cites work @@
+The Hurst effect under trends
@@ Property / cites work: The Hurst effect under trends / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+State space modeling of long-memory processes
@@ Property / cites work: State space modeling of long-memory processes / rank @@
+Normal rank
@@ Property / cites work @@
+Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
+Normal rank
@@ Property / cites work @@
+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+On the forecasting ability of ARFIMA models when infrequent breaks occur
+Normal rank
@@ Property / cites work @@
+Tests of Conditional Predictive Ability
@@ Property / cites work: Tests of Conditional Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+When long memory meets the Kalman filter: a comparative study
+Normal rank
@@ Property / cites work @@
+Estimation of fractional integration in the presence of data noise
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Indirect estimation of ARFIMA and VARFIMA models
@@ Property / cites work: Indirect estimation of ARFIMA and VARFIMA models / rank @@
+Normal rank
@@ Property / cites work @@
+MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
+Normal rank
@@ Property / cites work @@
+Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
+Normal rank
@@ Property / cites work @@
+ARMA representation of integrated and realized variances
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
+Normal rank
@@ Property / cites work @@
+Spurious number of breaks
@@ Property / cites work: Spurious number of breaks / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
+Normal rank
@@ Property / cites work @@
+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
+Normal rank
@@ Property / cites work @@
+Predictability of stock returns and asset allocation under structural breaks
+Normal rank
@@ Property / cites work @@
+A Test Against Spurious Long Memory
@@ Property / cites work: A Test Against Spurious Long Memory / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic volatility model with random level shifts and its applications to S&amp;P 500 and NASDAQ return indices
+Normal rank
@@ Property / cites work @@
+Bayesian methods for change-point detection in long-range dependent processes
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
+Normal rank