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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
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Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity
Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120
Persistent link: https://www.econbiz.de/10012616833
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On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
Ercolani, Joanne S. - 2010
Persistent link: https://www.econbiz.de/10009374216
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Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66
Persistent link: https://www.econbiz.de/10011548319
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The asymmetry and fractional integration of the unemployment rate in Albania
Shalari, Ornela; Laho, Emmelinda; Gumeni, Anita - In: International journal of economic policy in emerging … 8 (2015) 3, pp. 229-244
Persistent link: https://www.econbiz.de/10011506047
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The effect of round-off error on long memory processes
La Spada, Gabriele; Lillo, Fabrizio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 445-482
Persistent link: https://www.econbiz.de/10010461206
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Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the...
Persistent link: https://www.econbiz.de/10010281553