realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … data, the strength of the cointegrating relations, or the cointegration vector(s). The latter property makes it easier to … statistic without being reflected in the asymptotic distribution. Furthermore, a consistent estimator of the cointegration space …

regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity … suggested model is shown to deliver forecasts that are more precise compared to competing models. -- Cointegration ; electricity …

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …