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Long memory, realized volatility and HAR models
Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
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Long memory in log-range series : do structural breaks matter?
Chatzikonstanti, Vasiliki; Venetis, Ioannis A. - In: Journal of empirical finance 33 (2015), pp. 104-113
Persistent link: https://www.econbiz.de/10011556856
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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378
Persistent link: https://www.econbiz.de/10009301107
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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Integrated ARCH, FIGARCH and AR models : origins of long memory
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...
Persistent link: https://www.econbiz.de/10011405303