Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Xiaohu Wang, Weilin Xiao, Jun Yu
| Year of publication: |
2023
|
|---|---|
| Authors: | Wang, Xiaohu ; Xiao, Weilin ; Yu, Jun |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 389-415
|
| Subject: | Rough volatility | Fractional Ornstein-Uhlenbeck process | Hurst parameter | Long memory | Anti-persistent errors | Out-of-sample forecasting | ARFIMA | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Stochastischer Prozess | Stochastic process | ARMA-Modell | ARMA model | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339985