-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …

time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …

and the boundary estimation, it estimates the breaks consistently and it ensures that the volatility estimates are always …The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of … unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in …