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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit S.; Hurvich, Clifford M.; Lu, Yi - In: Journal of econometrics 131 (2006) 1/2, pp. 29-58
Persistent link: https://www.econbiz.de/10003298562
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Asymptotics for duration-driven long range dependent processes
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe - In: Journal of econometrics 141 (2007) 2, pp. 913-949
Persistent link: https://www.econbiz.de/10007859766
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Asymptotics for duration-driven long range dependent processes
Hsieh, Meng-chen; Hurvich, Clifford M.; Soulier, Philippe - In: Journal of econometrics 141 (2007) 2, pp. 913-949
Persistent link: https://www.econbiz.de/10003571367
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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit; Hurvich, Clifford; Lu, Yi - In: Journal of econometrics 131 (2006) 1, pp. 29-58
Persistent link: https://www.econbiz.de/10006747799
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Spectral tests of the martingale hypothesis under conditional heteroscedasticity
Deo, Rohit S. - In: Journal of econometrics 99 (2000) 2, pp. 291-315
Persistent link: https://www.econbiz.de/10001511972
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Estimation of mis-specified long memory models
Chen, Willa W.; Deo, Rohit S. - In: Journal of econometrics 134 (2006) 1, pp. 257-281
Persistent link: https://www.econbiz.de/10003368427
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Estimating fractional cointegration in the presence of polynomial trends
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of econometrics 117 (2003) 1, pp. 95-121
Persistent link: https://www.econbiz.de/10001787604
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Estimating fractional cointegration in the presence of polynomial trends
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of econometrics 117 (2003) 1, pp. 95-122
Persistent link: https://www.econbiz.de/10006761306