Realized Volatility and Long Memory: An Overview

DOI10.1080/07474930701853459zbMath1359.62460MaRDI QIDQ3539861

Esfandiar Maasoumi, Michael McAleer

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701853459

zbMATH Keywords

risk; forecasting; realized volatility; integrated variance; returns; securities; realized quarticity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

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Cites Work

• Realized Volatility: A Review
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