Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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 | Mean Reversion | Mean reversion | ARMA-Modell | ARMA model |
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