An integrated heteroscedastic autoregressive model for forecasting realized volatilities

DOI10.1016/j.jkss.2015.12.004zbMath1342.62146MaRDI QIDQ530371

Dong Wan Shin, Soojin Cho

Publication date: 29 July 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.12.004

zbMATH Keywords

fractional integration; high frequency data; long-memory; volatility forecasting; conditional heteroscedasticity; HAR model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

A CUSUM test for panel mean change detection, Forecasting realized volatility: a review

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