Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility
Richard T. Baillie, Dooyeon Cho, Seunghwa Rho
| Year of publication: |
2023
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|---|---|
| Authors: | Baillie, Richard ; Cho, Dooyeon ; Rho, Seunghwa |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 6, p. 2911-2937
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| Subject: | ARFIMA | HAR models | Long-memory | Realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-022-02357-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329017