Similar Search Results

Prediction in a non-homogeneous Poisson cluster model

Matsui, Muneya - In: Insurance / Mathematics & economics 55 (2014), pp. 10-17

Persistent link: https://www.econbiz.de/10010366215

Prediction of Lévy-driven CARMA processes

Brockwell, Peter J.; Lindner, Alexander - In: Journal of econometrics 189 (2015) 2, pp. 263-271

Persistent link: https://www.econbiz.de/10011504524

Forecasting global equity indices using large Bayesian VARs

Huber, Florian; Krisztin, Tamás; Piribauer, Philipp - 2014

Persistent link: https://www.econbiz.de/10010480996

Density forecasting using Bayesian global vector autoregressions with common stochastic volatility

Huber, Florian - 2014

Persistent link: https://www.econbiz.de/10010480999

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876