Prediction intervals for fractionally integrated time series and volatility models (original) (raw)

Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study

Journal of Empirical Finance, 2010

Efficient Bootstrap Forecast Intervals for Return and Volatility Using the Linear Estimator of ARCH Models

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence

Stavros DEGIANNAKIS

International Review of Financial Analysis, 2013

View PDFchevron_right

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Tim Bollerslev

Journal of Econometrics, 1996

View PDFchevron_right

Modeling the Variance of Return Intervals Toward Volatility Prediction

Guanghua Lian

Journal of Time Series Analysis

View PDFchevron_right

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

Taiane Prass

Physica D: Nonlinear Phenomena, 2014

View PDFchevron_right

Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

Bovas Abraham

Journal of Forecasting, 2011

View PDFchevron_right

A study of conditional volatility of hybrid FIGARCH, and Midas regression

Musa Usman bawa

A study conditional volatility of hybrid FIGARCH and MIDAS regression, 2021

View PDFchevron_right

Bootstrap prediction for returns and volatilities in GARCH models

Juan Romo, ESTHER RUIZ ORTEGA

Computational Statistics & Data Analysis, 2006

View PDFchevron_right

Forecasting returns and volatilities in GARCH processes using the bootstrap

Esther Ruiz

2000

View PDFchevron_right

Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH

Abdelati hakmaoui

2017

View PDFchevron_right

Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy

Dumitru Miron

Romanian Journal for Economic Forecasting, 2010

View PDFchevron_right

The Generalized Auto Regressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model for Forecasting Financial Volatility

Dennis S Mapa

2004

View PDFchevron_right

Modeling Asymmetric Effects and Long Memory in Conditional Volatility of Dhaka Stock Exchange: New Evidence from Family of FIGARCH Models

Horizon Research Publishing(HRPUB) Kevin Nelson

Universal Journal of Accounting and Finance, 2021

View PDFchevron_right

A Range-Based GARCH Model for Forecasting Volatility

Dennis S Mapa

View PDFchevron_right

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Shelton Peiris

Journal of Risk and Financial Management

View PDFchevron_right

Bootstrap prediction intervals for VaR and ES in the context of GARCH models

ESTHER RUIZ ORTEGA

2010

View PDFchevron_right

Volatility forecasting using threshold heteroskedastic models of the intra-day range

Richard Gerlach

Computational Statistics & Data Analysis, 2008

View PDFchevron_right

16 : 50 – 17 : 10-Asymmetric Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data

CLEBER BISOGNIN

2017

View PDFchevron_right

Return predictability of variance differences: A fractionally cointegrated approach

Marwan Izzeldin

Journal of Futures Markets, 2020

View PDFchevron_right

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Wai Keung Li

Journal of the American Statistical Association, 1997

View PDFchevron_right

Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application to High-frequency Stock Data

Olaoluwa Simon Yaya

International Journal of Finance & Economics, 2015

View PDFchevron_right

Económico Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Shelton Peiris

2016

View PDFchevron_right

Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

Tim Bollerslev

Journal of Econometrics, 2000

View PDFchevron_right

A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1

Asger Lunde

SSRN Electronic Journal, 2001

View PDFchevron_right

Fractionally integrated time varying GARCH model

Abdelwahed Trabelsi

Statistical Methods & Applications, 2010

View PDFchevron_right

Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review

ΣΤΑΥΡΟΣ ΝΤΕΓΙΑΝΝΑΚΗΣ, Evdokia Xekalaki

Quality Technology and Quantitative Management, 1(2), 271-324, 2004

View PDFchevron_right

Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index

JUAN MORA LOPEZ

Spanish Economic Review, 1999

View PDFchevron_right

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Paulo Rodrigues

Journal of Applied Econometrics, 2021

View PDFchevron_right

A SOUTH AFRICAN CONSIDERATION OF THE APPLICATION AND COMPARISON OF THE ARCH SERIES OF VOLATILITY FORECASTING MODELS

Francis Babi

View PDFchevron_right

Prediction intervals for fractionally integrated time series and volatility models (original) (raw)

Related papers