Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061)

scientific article; zbMATH DE number 7157431

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English	Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model	scientific article; zbMATH DE number 7157431

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scholarly article

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title

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (English)

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24 January 2020

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full work available at URL

http://hdl.handle.net/10398/90a1fbe6-a333-49ec-bcbe-0a64a606ae4d

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MaRDI publication profile

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cites work

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Modeling and Forecasting Realized Volatility

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Using High-Frequency Data in Dynamic Portfolio Choice

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Realized kernels in practice: trades and quotes

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Modeling and pricing long memory in stock market volatility

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Exploiting the errors: a simple approach for improved volatility forecasting

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Tests of equal forecast accuracy and encompassing for nested models

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Nested forecast model comparisons: a new approach to testing equal accuracy

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Approximately normal tests for equal predictive accuracy in nested models

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Long memory and regime switching

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Modelling the persistence of conditional variances

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A multiple indicators model for volatility using intra-daily data

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SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE

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QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

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Predicting volatility: getting the most out of return data sampled at different frequencies

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MIDAS Regressions: Further Results and New Directions

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Tests of Conditional Predictive Ability

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Consistent ranking of volatility models

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

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The Model Confidence Set

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Neglecting parameter changes in GARCH models

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

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Resampling and Subsampling for Financial Time Series

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Volatility forecast comparison using imperfect volatility proxies

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EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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

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Change-in-mean tests in long-memory time series: a review of recent developments

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Identifiers

zbMATH Open document ID

1435.62420

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DOI

10.1080/14697688.2019.1614653

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5212061