Regimes and long memory in realized volatility

DOI10.1515/SNDE-2012-0018zbMath1506.62404OpenAlexW644617600MaRDI QIDQ5881709

Jun Wang, Elena Goldman, Unnamed Author, Hiroki Tsurumi

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0018

zbMATH Keywords

forecastingBayesian model selectionrealized volatilitythreshold regimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications

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