Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

Autor:	Richard T. Baillie, Dooyeon Cho, Fabio Calonaci, Seunghwa Rho
Rok vydání:	2019
Předmět:	Statistics and Probability Stylized fact Realized variance Applied Mathematics 05 social sciences 01 natural sciences 010104 statistics & probability Autoregressive model Long memory 0502 economics and business Econometrics 0101 mathematics Statistics Probability and Uncertainty 050205 econometrics Mathematics
Zdroj:	Journal of Time Series Analysis. 40:609-628
ISSN:	1467-9892 0143-9782
DOI:	10.1111/jtsa.12470
Popis:	The presence of long memory in realized volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, contemporaneous aggregation, nonlinearities, or pure long memory. An important development has been the heterogeneous autoregressive (HAR) model and its extensions. This article assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long memory parameter is often important in addition to the HAR models.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d98e205f4ac08f2e6d76c0b62fc8acdd https://doi.org/10.1111/jtsa.12470 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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