Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
From MaRDI portal
Publication:2682955
DOI10.1016/j.jeconom.2021.08.001OpenAlexW3201871399MaRDI QIDQ2682955
Xiaohu Wang, Jun Yu, Wei-Lin Xiao
Publication date: 1 February 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.08.001
long memoryHurst parameterARFIMAfractional Ornstein-Uhlenbeck processout-of-sample forecastingrough volatilityanti-persistent errors
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items
Latent local-to-unity models ⋮ Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Model Confidence Set
- Approximately normal tests for equal predictive accuracy in nested models
- Double asymptotics for explosive continuous time models
- Parameter estimation and bias correction for diffusion processes
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Bias in the estimation of the mean reversion parameter in continuous time models
- Bias in estimating multivariate and univariate diffusions
- Quasi Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Perfect hedging in rough Heston models
- Asymptotic theory for rough fractional Vasicek models
- New distribution theory for the estimation of structural break point in mean
- Fractional {O}rnstein-{U}hlenbeck processes
- Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
- Statistical aspects of the fractional stochastic calculus
- Estimation and information in stationary time series
- Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling
- ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Towards a unified asymptotic theory for autoregression
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Volatility is rough
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
- The local fractional bootstrap
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
- Stochastic Models That Separate Fractal Dimension and the Hurst Effect
- Minimum Contrast Estimation for Fractional Diffusions
- The Distribution of Realized Exchange Rate Volatility
- Conditional Distributions of Processes Related to Fractional Brownian Motion
- Pricing under rough volatility
- Modeling and Forecasting Realized Volatility
- The Invariance Principle for Stationary Processes
- In-fill asymptotic theory for structural break point in autoregressions
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Estimators of fractal dimension: assessing the roughness of time series and spatial data
- Exploiting the errors: a simple approach for improved volatility forecasting