Long memory, realized volatility and heterogeneous autoregressive models
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Cites work
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Cited in
(24)- The role of long memory in hedging effectiveness
- Infinite-order, long-memory heterogeneous autoregressive models
- Extended realized GARCH models
- A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
- The long memory HEAVY process: modeling and forecasting financial volatility
- Sparse vector heterogeneous autoregressive modeling for realized volatility
- Long memory in integrated and realized variance
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Realized Volatility and Long Memory: An Overview
- Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
- Time-varying parameter realized volatility models
- Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
- Localized realized volatility modeling
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities
- Lassoing the HAR model: a model selection perspective on realized volatility dynamics
- Regimes and long memory in realized volatility
- Long run recursive VAR models and QR decompositions.
- Score-driven models for realized volatility
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- An Econometric Analysis of Volatility Discovery
- High-frequency instruments and identification-robust inference for stochastic volatility models
- Pricing variance swaps on the delay Barndorff-Nielsen and Shephard model
- Analytical valuation of nonlinear payoff volatility derivatives with discrete sampling under a mixed fractional geometric Brownian motion model
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