Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
DOI10.1016/J.JECONOM.2005.01.003zbMATH Open1337.62355OpenAlexW2034161641MaRDI QIDQ292001FDOQ292001
Authors: Rohit Deo, Clifford Hurvich, Yi Lu 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.003
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Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
Cites Work
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Cited In (37)
- Realized Volatility: A Review
- Forecasting realised volatility using ARFIMA and HAR models
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Localized realized volatility modeling
- Realized Volatility and Long Memory: An Overview
- Realized stochastic volatility with leverage and long memory
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- Modeling and forecasting persistent financial durations
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Efficiency in estimation of memory
- Realized stochastic volatility with general asymmetry and long memory
- Semiparametric inference in correlated long memory signal plus noise models
- Limit laws in transaction-level asset price models
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- Estimators of long-memory: Fourier versus wavelets
- The long memory HEAVY process: modeling and forecasting financial volatility
- Bayesian non-parametric signal extraction for Gaussian time series
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Parameter Estimation Robust to Low-Frequency Contamination
- Computationally efficient methods for two multivariate fractionally integrated models
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Application of seasonal SVR with chaotic gravitational search algorithm in electricity forecasting
- Forecasting realized volatility: a review
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Estimation and forecasting of long memory stochastic volatility models
- Distinguishing short and long memory volatility specifications
- Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Relative forecasting performance of volatility models: Monte Carlo evidence
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Whittle estimation of EGARCH and other exponential volatility models
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Realized volatility forecasting and market microstructure noise
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