Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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Publication:2682955
DOI10.1016/j.jeconom.2021.08.001OpenAlexW3201871399MaRDI QIDQ2682955
Xiaohu Wang, Jun Yu, Wei-Lin Xiao
Publication date: 1 February 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.08.001
long memoryHurst parameterARFIMAfractional Ornstein-Uhlenbeck processout-of-sample forecastingrough volatilityanti-persistent errors
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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