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Ten things we should know about time series

McAleer, Michael; Oxley, Les - 2010

Persistent link: https://www.econbiz.de/10008688841

Forecasting Austrian HICP and its components using VAR and ARIMA models

Fritzer, Friedrich; Moser, Gabriel; Scharler, Johann - 2002

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Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

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A note on an iterative least squares estimation method for ARMA and VARMA models

Kapetanios, George (contributor) - 2002 - [Elektronische Ressource]

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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 have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

Persistent link: https://www.econbiz.de/10011964976