Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
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Publication:292001
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Cites work
- scientific article; zbMATH DE number 3550006 (Why is no real title available?)
- scientific article; zbMATH DE number 954235 (Why is no real title available?)
- A note on calculating autocovariances of long‐memory processes
- Broadband log-periodogram regression of time series with long-range dependence
- Modeling and Forecasting Realized Volatility
- The detection and estimation of long memory in stochastic volatility
Cited in
(37)- Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Computationally efficient methods for two multivariate fractionally integrated models
- Efficiency in estimation of memory
- Localized realized volatility modeling
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- Realized stochastic volatility with general asymmetry and long memory
- Estimators of long-memory: Fourier versus wavelets
- Relative forecasting performance of volatility models: Monte Carlo evidence
- Limit laws in transaction-level asset price models
- Parameter Estimation Robust to Low-Frequency Contamination
- Realized Volatility and Long Memory: An Overview
- Forecasting realised volatility using ARFIMA and HAR models
- Bayesian non-parametric signal extraction for Gaussian time series
- Modeling and forecasting persistent financial durations
- Forecasting realized volatility: a review
- Realized stochastic volatility with leverage and long memory
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Realized Volatility: A Review
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Estimation and forecasting of long memory stochastic volatility models
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Whittle estimation of EGARCH and other exponential volatility models
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Application of seasonal SVR with chaotic gravitational search algorithm in electricity forecasting
- The long memory HEAVY process: modeling and forecasting financial volatility
- Realized volatility forecasting and market microstructure noise
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Distinguishing short and long memory volatility specifications
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Semiparametric inference in correlated long memory signal plus noise models
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
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