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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

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

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

Seasonality in High Frequency Time Series

Proietti, Tommaso; Pedregal, Diego J. - 2021

Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...

Persistent link: https://www.econbiz.de/10013240258