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

DOI10.1080/14697688.2017.1329591zbMath1406.62151MaRDI QIDQ4554429

Pierre Perron, Rasmus T. Varneskov

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2144/26709

zbMATH Keywords

stochastic volatility; Kalman filter; long memory processes; forecasting; structural change; state space modelling

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

91B84: Economic time series analysis

Related Items

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model, An integrated heteroscedastic autoregressive model for forecasting realized volatilities, A multivariate test against spurious long memory, Consistent inference for predictive regressions in persistent economic systems, Testing for parameter instability and structural change in persistent predictive regressions, Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

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