The long memory HEAVY process: modeling and forecasting financial volatility

DOI10.1007/S10479-019-03493-8zbMATH Open1478.62258OpenAlexW2998297573WikidataQ126394803 ScholiaQ126394803MaRDI QIDQ2070693FDOQ2070693

Authors: Menelaos Karanasos, S. Yfanti, A. Christopoulos 

Publication date: 24 January 2022

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

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

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zbMATH Keywords

forecastingstructural breakslong memoryrisk managementhigh-frequency datarealized varianceasymmetriesfinancial crisispower transformationsHEAVY model

Mathematics Subject Classification ID

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

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Cited In (4)

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

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