Refined Inference on Long Memory in Realized Volatility
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DOI: 10.1080/07474930701873374
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- Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
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Citations
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Cited by:
- Lieberman, Offer & Phillips, Peter C.B., 2008.
"A complete asymptotic series for the autocovariance function of a long memory process,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 99-103, November.
- Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation for Research in Economics, Yale University.
- Luis F. Espinoza-Audelo & Maricruz Olazabal-Lugo & Fabio Blanco-Mesa & Ernesto León-Castro & Victor Alfaro-Garcia, 2020. "Bonferroni Probabilistic Ordered Weighted Averaging Operators Applied to Agricultural Commodities’ Price Analysis," Mathematics, MDPI, vol. 8(8), pages 1-16, August.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023.
"We modeled long memory with just one lag!,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine, 2011.
"Edgeworth expansions for realized volatility and related estimators,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 190-203, January.
- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005. "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers 0319, National Bureau of Economic Research, Inc.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
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"Long memory and tail dependence in trading volume and volatility,"
Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
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- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
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WP1507, ESSEC Research Center, ESSEC Business School.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
- Zhanglong Wang & Kent Wang & Zheyao Pan, 2015. "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 295-317, May.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2015.
"It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model,"
Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
- Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
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"Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
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- Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
- Matteo Luciani & David Veredas, "undated". "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
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"Forecasting With the Standardized Self‐Perturbed Kalman Filter,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 318-341, March.
- Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics 1405, School of Economics, University of Kent.
- Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," CREATES Research Papers 2014-12, Department of Economics and Business Economics, Aarhus University.
- Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
- Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
- Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
- Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2021. "Forecasting realised volatility: Does the LASSO approach outperform HAR?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Alexandra Chronopoulou & Frederi Viens, 2012. "Estimation and pricing under long-memory stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 379-403, May.
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More about this item
Keywords
Edgeworth expansion; Long memory; Realized volatility;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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