The long memory HEAVY process: modeling and forecasting financial volatility
DOI10.1007/S10479-019-03493-8zbMath1478.62258OpenAlexW2998297573WikidataQ126394803 ScholiaQ126394803MaRDI QIDQ2070693
Menelaos Karanasos, A. Christopoulos, S. Yfanti
Publication date: 24 January 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03493-8
long memoryforecastinghigh-frequency datafinancial crisisasymmetriesrisk managementstructural breaksrealized variancepower transformationsHEAVY model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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