The long memory HEAVY process: modeling and forecasting financial volatility

The long memory HEAVY process: modeling and forecasting financial volatility

© 2020, The Author(s). This paper studies the bivariate HEAVY system of volatility regression equations and its various extensions that are directly applicable to the day-to-day business treasury operations of trading in foreign exchange and commodities, investing in bond and stock markets, hedging...

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Bibliographic Details
Main Authors: M Karanasos, Stavroula Yfanti, A Christopoulos
Format: Default Article
Published: 2020
Subjects:
Asymmetries
Financial crisis
Forecasting
HEAVY model
High-frequency data
Long memory
Power transformations
Realized variance
Risk management
Structural breaks
Science & Technology
Technology
Operations Research & Management Science
CONDITIONAL CORRELATION
ASYMPTOTIC THEORY
REALIZED KERNELS
GARCH
HETEROSCEDASTICITY
Operations Research
Mathematical Sciences
Information and Computing Sciences
Commerce, Management, Tourism and Services
Online Access:https://hdl.handle.net/2134/11871861.v1
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https://hdl.handle.net/2134/11871861.v1

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