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Predictions from ARMAX models

Baillie, Richard T. - In: Journal of econometrics 12 (1980) 3, pp. 365-374

Persistent link: https://www.econbiz.de/10001855799

Realized semi(co)variation : signs that all volatilities are not created equal

Bollerslev, Tim - In: Journal of financial econometrics 20 (2022) 2, pp. 219-252

Persistent link: https://www.econbiz.de/10013187965

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Parametric vs. semiparametric long memory : comments on "Prediction from ARFIMA models : Comparison between MLE and semiparametric estimation"

Arteche, Josu - In: International journal of forecasting 28 (2012) 1, pp. 54-56

Persistent link: https://www.econbiz.de/10009581402

Prediction from ARFIMA models : comparisons between MLE and semiparametric estimation procedures

Baillie, Richard; Chaleampong Kongcharoen; Kapetanios, … - In: International journal of forecasting 28 (2012) 1, pp. 46-53

Persistent link: https://www.econbiz.de/10009581412

Special issue on high frequency data in finance

Baillie, Richard (contributor); … - 1997

Persistent link: https://www.econbiz.de/10001505850

Special issue on high frequency data in finance ; Pt. 1

Baillie, Richard (contributor); … - 1997

Persistent link: https://www.econbiz.de/10001224723

Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility

Baillie, Richard; Cho, Dooyeon; Rho, Seunghwa - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2911-2937

Persistent link: https://www.econbiz.de/10014329017

Volatility forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

Persistent link: https://www.econbiz.de/10010298299

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888