Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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Publication:4554429
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Cites work
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 795280 (Why is no real title available?)
- A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
- A test against spurious long memory
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ARMA representation of integrated and realized variances
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
- Bayesian methods for change-point detection in long-range dependent processes
- Consistent ranking of volatility models
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Estimation of fractional integration in the presence of data noise
- Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
- Fractional differencing
- Indirect estimation of ARFIMA and VARFIMA models
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Long memory and regime switching
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Modeling and Forecasting Realized Volatility
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Predictability of stock returns and asset allocation under structural breaks
- Spurious number of breaks
- State space modeling of long-memory processes
- Tests of Conditional Predictive Ability
- The Distribution of Realized Exchange Rate Volatility
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Hurst effect under trends
- The Model Confidence Set
- Time series: theory and methods.
- Volatility forecast comparison using imperfect volatility proxies
- When long memory meets the Kalman filter: a comparative study
Cited in
(12)- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
- Spurious multivariate regressions under fractionally integrated processes
- Testing for parameter instability and structural change in persistent predictive regressions
- Consistent inference for predictive regressions in persistent economic systems
- Level changes in volatility models
- Forecasting a long memory process subject to structural breaks
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Estimating a common break point in means for long-range dependent panel data
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities
- A multivariate test against spurious long memory
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