Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
Year of publication: |
2012-06-12
|
---|---|
Authors: | Hillebrand, Eric ; Medeiros, Marcelo C. |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Smooth transitions | long memory | forecasting | realized volatility |
-
Forecasting the volatility of Nikkei 225 futures
Asai, Manabu, (2017)
-
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin, (2004)
-
Simple (but effective) tests of long memory versus structural breaks
Shimotsu, Katsumi, (2006)
- More ...
-
Let's Do It Again: Bagging Equity Premium Predictors
Hillebrand, Eric, (2012)
-
Asymptotic Theory for Regressions with Smoothly Changing Parameters
Hillebrand, Eric, (2012)
-
Lukas, Manuel, (2014)
- More ...