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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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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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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Are forecast updates progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008670046
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Evaluating combined non-replicable forecasts
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008760499
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version
Persistent link: https://www.econbiz.de/10000891757
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Modeling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard (contributor); Morana, Claudio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428583
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Combining non-replicable forecasts
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008689066
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Testing for neglected nonlinearity in long memory models
Baillie, Richard (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808664