Long memory in integrated and realized variance

DOI10.1007/978-3-642-35588-2_47MaRDI QIDQ2930712zbMATH OpenOpenAlexFDO

Authors Eduardo Rossi, Paolo Santucci de Magistris

Publication date 19 November 2014

Published in Advances in Theoretical and Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35588-2_47

zbMATH Keywords

measurement errorfractional Brownian motionlong memoryrealized volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Fractional processes, including fractional Brownian motion (60G22)

Recommendations

• Estimation of long memory in integrated variance
• Refined Inference on Long Memory in Realized Volatility
• Varieties of long memory models
• Long memory, realized volatility and heterogeneous autoregressive models
• Estimating Long Memory in Volatility

Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Alternative forms of fractional Brownian motion
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimating Long Memory in Volatility
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• Long memory processes and fractional integration in econometrics
• Modeling and Forecasting Realized Volatility
• Modeling and pricing long memory in stock market volatility
• Modeling volatility persistence of speculative returns: a new approach
• Refined Inference on Long Memory in Realized Volatility
• SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
• Stochastic Volatility Models with Long Memory
• The Distribution of Realized Exchange Rate Volatility
• The memory of stochastic volatility models
• Type I and type II fractional Brownian motions: a reconsideration

Cited in

(8)

• Refined Inference on Long Memory in Realized Volatility
• Testing long memory based on a discretely observed process
• Volatility is rough
• An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• On the measurement and treatment of extremes in time series
• Fractional integration versus level shifts: the case of realized asset correlations
• Estimation of long memory in integrated variance

This page was built for publication: Long memory in integrated and realized variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2930712)