Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

DOI10.1080/14697688.2017.1329591zbMATH Open1406.62151OpenAlexW3125360608MaRDI QIDQ4554429FDOQ4554429

Authors: Rasmus T. Varneskov, Pierre Perron 

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

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zbMATH Keywords

Kalman filterforecastingstochastic volatilitystructural changelong memory processesstate space modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cites Work

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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
• A multivariate test against spurious long memory
• An integrated heteroscedastic autoregressive model for forecasting realized volatilities

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