Realized Volatility and Long Memory: An Overview
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Publication:3539861
DOI10.1080/07474930701853459zbMath1359.62460OpenAlexW2086720953MaRDI QIDQ3539861
Michael McAleer, Esfandiar Maasoumi
Publication date: 19 November 2008
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930701853459
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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Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Estimation and pricing under long-memory stochastic volatility ⋮ Indirect inference in fractional short-term interest rate diffusions ⋮ Data-based ranking of realised volatility estimators ⋮ TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE ⋮ Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility ⋮ Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
Cites Work
- Realized Volatility: A Review
- The Volatility of Realized Volatility
- Moving Average-Based Estimators of Integrated Variance
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Edgeworth Corrections for Realized Volatility
- Using High-Frequency Data in Dynamic Portfolio Choice
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Refined Inference on Long Memory in Realized Volatility
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Why Aggregate Long Memory Time Series?
- Multivariate Stochastic Volatility: An Overview
- Multivariate Stochastic Volatility: A Review
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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