The long memory HEAVY process: modeling and forecasting financial volatility

DOI10.1007/S10479-019-03493-8MaRDI QIDQ2070693zbMATH OpenOpenAlexWikidataFDO

Authors Menelaos Karanasos, S. Yfanti, A. Christopoulos

Publication date 24 January 2022

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10479-019-03493-8

zbMATH Keywords

asymmetriesfinancial crisisforecastingHEAVY modelhigh-frequency datalong memorypower transformationsrealized variancerisk managementstructural breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

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Cited in

(4)

• Long-term memory and applying the multi-factor ARFIMA models in financial markets
• Long memory estimation in a non-Gaussian bivariate process
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
• VaR prediction under long memory in volatility

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