Estimating the persistence and the autocorrelation function of a time series that is measured with error
From MaRDI portal
Publication:4979934
Recommendations
- scientific article; zbMATH DE number 1133212
- RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimation of long memory in integrated variance
- Unit Root Tests Based on Instrumental Variables Estimation
Cites work
- scientific article; zbMATH DE number 2230348 (Why is no real title available?)
- A Tale of Two Time Scales
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Consistent ranking of volatility models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating Long Memory in Volatility
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimating the fractionally integrated process in the presence of measurement errors
- Estimation of fractional integration in the presence of data noise
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- Evaluating Volatility and Correlation Forecasts
- Identification and estimation of local average derivatives in non-separable models without monotonicity
- Long memory relationships and the aggregation of dynamic models
- Modeling and Forecasting Realized Volatility
- Nonlinear log-periodogram regression for perturbed fractional processes
- Realized volatility forecasting and market microstructure noise
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Temporal aggregation of volatility models
- Testing Models of Low-Frequency Variability
- Testing for a unit root in the presence of moving average errors
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(18)- Exploiting the errors: a simple approach for improved volatility forecasting
- It only takes a few moments to hedge options
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- The effect of additive outliers on a fractional unit root test
- A GMM approach to estimate the roughness of stochastic volatility
- Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
- Volatility regressions with fat tails
- Estimation of error correction model with measurement errors
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Data-based ranking of realised volatility estimators
- Latent local-to-unity models
- New robust inference for predictive regressions
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Estimation of long memory in integrated variance
- Inference from high-frequency data: a subsampling approach
This page was built for publication: Estimating the persistence and the autocorrelation function of a time series that is measured with error
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4979934)
