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Combining long memory and level shifts in modeling and forecasting of persistent time series

Varneskov, Rasmus Tangsgaard; Perron, Pierre - 2011

Persistent link: https://www.econbiz.de/10009228960

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

The role of dynamic specification in forecasting volatility in the presence of jumps and noisy high-frequency data

Varneskov, Rasmus Tangsgaard - 2010

Persistent link: https://www.econbiz.de/10008651714

The properties of model selection when retain theory variables

Varneskov, Rasmus Tangsgaard - 2011

Persistent link: https://www.econbiz.de/10009356170

Inference for Local Distributions at High Sampling Frequencies : A Bootstrap Approach

Hounyo, Ulrich - 2018

We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic scale (volatility) and truncated to rid the...

Persistent link: https://www.econbiz.de/10012907894