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Essays on long memory time series

Leschinski, Christian Hendrik - 2016

Persistent link: https://www.econbiz.de/10011559565

Singular spectrum analysis for value at risk in stochastic volatility models

Arteche, Josu; García-Enríquez, Javier - In: Journal of forecasting 41 (2022) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10012796265

An ARCH model without intercept

Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17

Persistent link: https://www.econbiz.de/10011421858

Multifrequency network for SADC exchange rate markets using EEMD-based DCCA

Adam, Anokye M.; Kyei, Kwabena; Moyo, Simiso; Gill, Ryan; … - In: Journal of economics and finance : JEF 46 (2022) 1, pp. 145-166

Persistent link: https://www.econbiz.de/10012795674

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns

Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011579750

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363

(Structural) VAR models with ignored changes in mean and volatility

Demetrescu, Matei; Salish, Nazarii - In: International journal of forecasting 40 (2024) 2, pp. 840-854

Persistent link: https://www.econbiz.de/10014547211

Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

Masking of volatility by seasonal adjustment methods

Hayat, Aziz; Bhatti, Muhammad Ishaq - In: Economic modelling 33 (2013), pp. 676-688

Persistent link: https://www.econbiz.de/10010194430

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