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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit S.; Hurvich, Clifford M.; Lu, Yi - In: Journal of econometrics 131 (2006) 1/2, pp. 29-58
Persistent link: https://www.econbiz.de/10003298562
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Forecasting realised volatility using a long memory stochastic volatility model : estimation, prediction and seasonal adjustment
Deo, Rohit S. (contributor); Hirvich, Clifford (contributor) - 2003
We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV) model. Issues pertaining to estimation and forecasting of datasets using the LMSV model are studied in detail. Furthermore, a new method of de-seasonalising the volatility in high...
Persistent link: https://www.econbiz.de/10003022767
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Non- and semiparametric identification of seasonal nonlinear autoregression models
Yang, Lijian; Tschernig, Rolf - In: Econometric theory 18 (2002) 6, pp. 1408-1448
Persistent link: https://www.econbiz.de/10001716911
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A formalization of seasonal encompassing with an application to a German macromodel
Beyer, Andreas - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 315-323
Persistent link: https://www.econbiz.de/10001603251
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Inference of seasonal cointegration : Gaussian reduced rank estimation and tests for various types of cointegration
Ahn, Sung K.; Cho, Sinsup; Seong, B. Chan - In: Oxford bulletin of economics and statistics 66 (2004) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10002069785
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Estimating the smoothing parameter in the so-called Hodrick-Prescott Filter
Schlicht, Ekkehart (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001948511
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Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand
Goldrian, Georg - In: Jahrbücher für Nationalökonomie und Statistik 221 (2001) 2, pp. 129-144
Persistent link: https://www.econbiz.de/10001569145
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Testing for integration using evolving trend and seasonals models : a Basyesian approach
Koop, Gary; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001412194
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Spurious deterministic seasonality and autocorrelation corrections with quarterly data : further Monte Carlo results
Silva Lopes, Arthur C. B. da - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 341-359
Persistent link: https://www.econbiz.de/10001388907
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Zur Approximation der Trend-Zyklus-Komponente am aktuellen Rand einer Zeitreihe
Goldrian, Georg; Lehne, Birgit - In: Jahrbücher für Nationalökonomie und Statistik (1999) 3/4, pp. 344-356
Persistent link: https://www.econbiz.de/10001451392