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Changing-regime volatility : A fractionally integrated SETAR model
Peguin-Feissolle, Anne; Dufrénot, Gilles; Guegan, Dominique - HAL - 2006
This paper presents a 2-regime SETAR model with different longmemory processes in both regimes. We briefly present the …
Persistent link: https://www.econbiz.de/10008794815
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Modelling squared returns using a SETAR model with long-memory dynamics
Dufrénot, Gilles; Guegan, Dominique; Peguin-Feissolle, Anne - HAL - 2005
This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a …
Persistent link: https://www.econbiz.de/10008793159
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Non linear models and the load of an electricity distributor
Simões, Mário Domingues de Paula; Klotzle, Marcelo Cabus - In: International journal of energy sector management : IJESM 9 (2015) 1, pp. 38-56
Persistent link: https://www.econbiz.de/10011305165
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A new consensus between the mean and median combination methods to improve forecasting accuracy
Aras, Serkan; Gülay, Emrah - In: Serbian journal of management : an international … 12 (2017) 2, pp. 217-236
To improve the forecasting accuracies, researchers have long been using various combination techniques. In particular …, the use of dissimilar methods for forecasting time series data is expected to provide superior results. Although numerous …
Persistent link: https://www.econbiz.de/10011823167
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A model for vast panels of volatilities
Luciani, Matteo; Veredas, David - 2012
volatility of the realized volatility is not constant and common to all. v) A forecasting horse race against 8 competing models …
Persistent link: https://www.econbiz.de/10012530396
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Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model
Lu, Yang K.; Perron, Pierre - Department of Economics, Boston University - 2008
We consider the estimation of a random level shift model for which the series of interest is the sum of a short memory process and a jump or level shift component. For the latter component, we specify the commonly used simple mixture model such that the component is the cumulative sum of a...
Persistent link: https://www.econbiz.de/10004994221
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Modelling exchange rate volatility with random level shifts
Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
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The economic importance of rare earth elements volatility forecasts
Proelss, Juliane; Schweizer, Denis; Seiler, Volker - In: International review of financial analysis 71 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012435747
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A SHARP model of bid-ask spread forecasts
Cattivelli, Luca; Pirino, Davide - In: International journal of forecasting 35 (2019) 4, pp. 1211-1225
Persistent link: https://www.econbiz.de/10012305253
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Modeling and forecasting firm-specific volatility : the role of asymmetry and long-memory
González-Pla, Francisco; Lovreta, Lidija - In: Finance research letters 48 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013463084