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
Clifford Hurvich, Yi Lu, Rohit Deo
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
Recommendations
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 (33)
- Realized Volatility: A Review
- The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility
- 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
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Realized Volatility and Long Memory: An Overview
- 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
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Estimators of long-memory: Fourier versus wavelets
- 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
- LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Relative forecasting performance of volatility models: Monte Carlo evidence
- Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series
- 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
- Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models
- Realized volatility forecasting and market microstructure noise
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