Pages that link to "Item:Q1927150"
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The following pages link to Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150):
Displaying 9 items.
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
- Infinite-order, long-memory heterogeneous autoregressive models (Q1623535) (← links)
- Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889) (← links)
- Regimes and long memory in realized volatility (Q5881709) (← links)
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models (Q6623164) (← links)