Modeling long memory in stock market volatility
From MaRDI portal
Recommendations
- The detection and estimation of long memory in stochastic volatility
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Long memory and regime switching
- scientific article; zbMATH DE number 1944316
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
Cites work
- scientific article; zbMATH DE number 3969824 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Empirical modeling of exchange rate dynamics
- Estimating stochastic differential equations efficiently by minimum chi-squared
- Estimation of stochastic volatility models with diagnostics
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory processes and fractional integration in econometrics
- Long memory relationships and the aggregation of dynamic models
- Modeling and pricing long memory in stock market volatility
- Nonlinear Dynamic Structures
- Qualitative threshold ARCH models
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Semi-Nonparametric Maximum Likelihood Estimation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Temporal Aggregation of Garch Processes
- The Fractional Unit Root Distribution
- The detection and estimation of long memory in stochastic volatility
- Volume, volatility, and leverage: A dynamic analysis
Cited in
(35)- Long-run comovements in East Asian stock market volatility
- Volatility persistence and switching ARCH in Japanese stock returns
- Asymptotics for duration-driven long range dependent processes
- On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
- Estimation of time varying skewness and kurtosis with an application to value at risk
- The autocorrelation function behavior of regime switching models: an empirical approach
- A new model for explaining long-range correlations in human time interval production
- Volatility in the stock market: ANN versus parametric models
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Long memory and regime switching
- TESTING FOR LONG MEMORY IN VOLATILITY
- Random coefficient autoregression, regime switching and long memory
- On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes
- Modeling and forecasting persistent financial durations
- Stochastic volatility as a simple generator of apparent financial power laws and long memory
- The role of communication and imitation in limit order markets
- Modelling squared returns using a SETAR model with long-memory dynamics
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Modelling structural breaks, long memory and stock market volatility: an overview
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Long memory and stochastic trend.
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Quantile periodogram and time-dependent variance
- Testing for persistence in stock returns with GARCH-stable shocks
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Renewal regime switching and stable limit laws
- First‐Order Autoregressive Processes with Heterogeneous Persistence
- How can we Define the Concept of Long Memory? An Econometric Survey
- Cross-validated SNP density estimates
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- Regimes and long memory in realized volatility
- A discrete-time model of high-frequency stock returns
This page was built for publication: Modeling long memory in stock market volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1588307)
