Long memory, realized volatility and heterogeneous autoregressive models

DOI10.1111/JTSA.12470zbMATH Open1426.62253OpenAlexW2941456063MaRDI QIDQ5226150FDOQ5226150

Authors: Richard T. Baillie, Fabio Calonaci, Dooyeon Cho, Seunghwa Rho 

Publication date: 30 July 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12470

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zbMATH Keywords

realized volatilityheterogeneous autoregressive (HAR) modelHAR modelsrestricted ARFIMA modelsTVP models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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Cited In (21)

• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
• Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
• The role of long memory in hedging effectiveness
• Score-driven models for realized volatility
• Long memory in integrated and realized variance
• Extended realized GARCH models
• Localized realized volatility modeling
• Realized Volatility and Long Memory: An Overview
• Time-varying parameter realized volatility models
• Sparse vector heterogeneous autoregressive modeling for realized volatility
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Regimes and long memory in realized volatility
• The long memory HEAVY process: modeling and forecasting financial volatility
• A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
• An Econometric Analysis of Volatility Discovery
• Infinite-order, long-memory heterogeneous autoregressive models
• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• Long run recursive VAR models and QR decompositions.
• Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
• Lassoing the HAR model: a model selection perspective on realized volatility dynamics
• An integrated heteroscedastic autoregressive model for forecasting realized volatilities

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