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~isPartOf:"Journal of econometrics"
~subject:"Schätztheorie"
~subject:"Stock market"
~subject:"Volatility"
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Search: subject_exact:"Autoregressive fractionally integrated moving average"
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1
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
2
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 559-573
Persistent link: https://www.econbiz.de/10012439500
Saved in:
3
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
Saved in:
4
Generating univariate fractional integration within a large VAR(1)
Chevillon, Guillaume
;
Hecq, Alain W. J.
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 54-65
Persistent link: https://www.econbiz.de/10011974715
Saved in:
5
Generalized ARMA models with martingale difference errors
Zheng, Tingguo
;
Xiao, Han
;
Chen, Rong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
Saved in:
6
A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke
;
Li, Wai Keung
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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7
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
8
Moving average stochastic volatility models with application to inflation forecast
Chan, Joshua C. C.
- In:
Journal of econometrics
176
(
2013
)
2
,
pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
Saved in:
9
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
10
Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
Journal of econometrics
98
(
2000
)
1
,
pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
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