Distinguishing short and long memory volatility specifications
From MaRDI portal
Publication:3548528
Recommendations
Cites work
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3070807 (Why is no real title available?)
- A note on calculating the autocovariances of the fractionally integrated ARMA models
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asset price dynamics, volatility, and prediction.
- Comparing the bias and misspecification in ARFIMA models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory processes and fractional integration in econometrics
- Long memory relationships and the aggregation of dynamic models
- Modeling and pricing long memory in stock market volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Semiparametric analysis of long-memory time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Tests for Hurst effect
- The Distribution of Realized Exchange Rate Volatility
- The detection and estimation of long memory in stochastic volatility
- Time series: theory and methods.
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Varieties of long memory models
Cited in
(2)
This page was built for publication: Distinguishing short and long memory volatility specifications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3548528)
