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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

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Equation-by-equation estimation of multivariate periodic electricity price volatility

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Persistent link: https://www.econbiz.de/10011972846

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets

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Persistent link: https://www.econbiz.de/10010394614

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Forecast evaluation of explanatory models of financial variability

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A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

Persistent link: https://www.econbiz.de/10003829997