Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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Publication:4554429
DOI10.1080/14697688.2017.1329591zbMath1406.62151OpenAlexW3125360608MaRDI QIDQ4554429
Pierre Perron, Rasmus T. Varneskov
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/2144/26709
stochastic volatilityKalman filterlong memory processesforecastingstructural changestate space modelling
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
Related Items (6)
A multivariate test against spurious long memory ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model ⋮ Testing for parameter instability and structural change in persistent predictive regressions
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