Long memory in integrated and realized variance

DOI10.1007/978-3-642-35588-2_47zbMATH Open1300.62107OpenAlexW421697589MaRDI QIDQ2930712FDOQ2930712

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

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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)

Cites Work

• Title not available (Why is that?)
• The Distribution of Realized Exchange Rate Volatility
• Alternative forms of fractional Brownian motion
• Long memory processes and fractional integration in econometrics
• Modeling and pricing long memory in stock market volatility
• Modeling volatility persistence of speculative returns: a new approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• The memory of stochastic volatility models
• Refined Inference on Long Memory in Realized Volatility
• SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
• Estimating Long Memory in Volatility
• Stochastic Volatility Models with Long Memory
• 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
• Estimation of long memory in integrated variance
• Fractional integration versus level shifts: the case of realized asset correlations

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