Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Rasmus T. Varneskov and Pierre Perron
| Year of publication: |
March 2018
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| Authors: | Varneskov, Rasmus Tangsgaard ; Perron, Pierre |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 371-393
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| Subject: | Forecasting | Kalman filter | Long memory processes | State space modelling | Stochastic volatility | Structural change | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Strukturbruch | Structural break |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1329591 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906384