Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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Publication:4554429
DOI10.1080/14697688.2017.1329591zbMath1406.62151MaRDI 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 volatility; Kalman filter; long memory processes; forecasting; structural change; state space modelling
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
91B84: Economic time series analysis
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