The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …