, C53, G12 Keywords: Backtesting, Value-at-Risk, Expected Shortfall, Long Mem- ory, Fractional Integrated Volatility … Models Acknowledgement: This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 ‘Economic Risk …

Memory ; Fractional Integrated Volatility Models …, C53, G12 Keywords: Backtesting, Value-at-Risk, Expected Shortfall, Long Mem- ory, Fractional Integrated Volatility … Models Acknowledgement: This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 ‘Economic Risk …

of improved forecasting, we model the long memory in levels and absolute returns using the class of fractional integrated … volatility models that provide flexible structure to capture the slow decaying autocorrelation function reasonably well. …

of improved forecasting, we model the long memory in levels and absolute returns using the class of fractional integrated … volatility models that provide flexible structure to capture the slow decaying autocorrelation function reasonably well. … of fractional integrated volatility models that provide flexible structure to capture the slow decaying autocorrelation …