Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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Deo, Rohit
Hurvich, Clifford
Lu, Yi

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Abstract

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 131 (2006)
Issue (Month): 1-2 ()
Pages: 29-58
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Handle: RePEc:eee:econom:v:131:y:2006:i:1-2:p:29-58

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Paper
- Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, EconWPA. [Downloadable!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Offer Lieberman & Peter Phillips, 2008. "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 254-267. [Downloadable!] (restricted)
Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, School of Economics and Management, University of Aarhus. [Downloadable!]
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, 04. [Downloadable!] (restricted)
Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics. [Downloadable!]
Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus. [Downloadable!]
Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, School of Economics and Management, University of Aarhus. [Downloadable!]
Other versions:
- Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June. [Downloadable!] (restricted)
Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussÃ£o 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
Other versions:
- Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago. [Downloadable!]
Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, EconWPA. [Downloadable!]

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