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Testing for long-range dependence in financial time series
Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 93-106
Persistent link: https://www.econbiz.de/10012294575
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Locally time homogeneous time series modelling
Elagin, Mstislav; Spokojnyj, Vladimir G. - 2008
Persistent link: https://www.econbiz.de/10003805435
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Wavelet analysis of nonlinear long-range dependent processes : applications to financial time series
Teyssière, Gilles; Abry, Patrice - In: Long memory in economics : with 50 tables, (pp. 173-238). 2006
Persistent link: https://www.econbiz.de/10003375645
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Locally time homogeneous time series modelling
Elagin, Mstislav; Spokojnyj, Vladimir G. - In: Applied quantitative finance, (pp. 345-361). 2009
Persistent link: https://www.econbiz.de/10003746421
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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables
Hafner, Christian M. - 1998
Persistent link: https://www.econbiz.de/10000965598
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …
Persistent link: https://www.econbiz.de/10009125537
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Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …
Persistent link: https://www.econbiz.de/10011430242
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A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
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Testing for Long Memory in Volatility
Hurvich, Clifford M. - 2008
-memory stochastic volatility models, under the nullhypothesis of short memory in volatility. We show that in this situation, if …
Persistent link: https://www.econbiz.de/10012769321
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872