Pages that link to "Item:Q292001"

The following pages link to Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (Q292001):

Displaying 30 items.

• A wavelet Whittle estimator of generalized long-memory stochastic volatility (Q261551) (← links)
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation (Q652384) (← links)
• Bayesian non-parametric signal extraction for Gaussian time series (Q736535) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Efficiency in estimation of memory (Q993829) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Application of seasonal SVR with chaotic gravitational search algorithm in electricity forecasting (Q1792298) (← links)
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
• Estimators of long-memory: Fourier versus wavelets (Q2628842) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
• Computationally efficient methods for two multivariate fractionally integrated models (Q3077667) (← links)
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
• LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS (Q3191830) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• Distinguishing short and long memory volatility specifications (Q3548528) (← links)
• A generalized ARFIMA process with Markov-switching fractional differencing parameter (Q3638584) (← links)
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
• Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models (Q5080154) (← links)
• The Slow Convergence of Ordinary Least Squares Estimators of <i>α</i>, <i>β</i> and Portfolio Weights under Long‐Memory Stochastic Volatility (Q5226148) (← links)
• Forecasting realised volatility using ARFIMA and HAR models (Q5235453) (← links)
• Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468) (← links)
• Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series (Q5397967) (← links)
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (Q5864370) (← links)
• Modeling and forecasting persistent financial durations (Q5864631) (← links)
• Estimation and forecasting of long memory stochastic volatility models (Q6039116) (← links)