Sparse change-point HAR models for realized variance

DOI10.1080/07474938.2018.1454366MaRDI QIDQ5860933zbMATH OpenOpenAlexWikidataFDO

Authors Arnaud Dufays, Jeroen V. K. Rombouts

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11794/17587

zbMATH Keywords

Bayesian inferencechange-point modelonline forecastingrealized varianceshrinkage priortime series

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Relevant parameter changes in structural break models
• Detecting structural breaks in realized volatility
• Stochastic change-point ARX-GARCH models and their applications to econometric time series
• Time-varying parameter realized volatility models
• Adaptive realized hyperbolic GARCH process: stability and estimation

Cites work

• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Bayesian Variable Selection in Linear Regression
• Estimation and comparison of multiple change-point models
• Estimation and Forecasting in Models with Multiple Breaks
• Exploiting the errors: a simple approach for improved volatility forecasting
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• Forecasting Time Series Subject to Multiple Structural Breaks
• Group Lasso for structural break time series
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• Inference and prediction in a multiple-structural-break model
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• Lassoing the HAR model: a model selection perspective on realized volatility dynamics
• Marginal Likelihood from the Gibbs Output
• Realized Volatility: A Review
• Sequential Monte Carlo Samplers
• Spike and slab variable selection: frequentist and Bayesian strategies
• Structural changes in inflation dynamics: multiple breaks at different dates for different parameters
• The Distribution of Realized Exchange Rate Volatility
• The VIX, the variance premium and stock market volatility

Cited in

(2)

• Relevant parameter changes in structural break models
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration

This page was built for publication: Sparse change-point HAR models for realized variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5860933)