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Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
16 references·16 citing·35 second hopsampled
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach (2009)Modelling long memory and structural brea…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Long memory and regime switching (2001)Long memory and regime switch…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Volatility persistence in cryptocurrency markets under structural breaks (2020)Volatility persistence in cry…Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models? (2018)Volatility forecasting of cru…Are shocks on the returns and volatility of cryptocurrencies really persistent? (2018)Are shocks on the returns and…Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching (2016)Forecasting the volatility of…Forecasting crude oil market volatility: A Markov switching multifractal volatility approach (2015)Forecasting crude oil market …True or spurious long memory in volatility: Further evidence on the energy futures markets (2014)True or spurious long memory …Modelling volatility by variance decomposition (2013)Modelling volatility by varia…Modelling changes in the unconditional variance of long stock return series (2013)Modelling changes in the unco…Marginal likelihood for Markov-switching and change-point GARCH models (2013)Marginal likelihood for Marko…How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches (2013)How does news sentiment impac…Exchange–Rates Volatility in Nigeria: Application of GARCH Models with Exogenous Break (2013)Exchange–Rates Volatility in …Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012)Long memory and structural br…Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates (2012)Asymmetric effects and long m…Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study (2010)Multivariate fractionally int…Localized Realized Volatility Modeling (2010)Localized Realized Volatility…Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (2008)Modelling Conditional and Unc…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Pricing of Options and Corporate Liabilities (1973)5 Stochastic volatility (1996)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? 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References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2001Long memory and regime switching1,162 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

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649 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • Cited by

    • 2012Long memory and structural breaks in modeling the return and volatility dynamics of precious metals160 cited
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    • 2013How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches103 cited
    • 2018Are shocks on the returns and volatility of cryptocurrencies really persistent?100 cited
    • 2013Marginal likelihood for Markov-switching and change-point GARCH models96 cited
    • 2018Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?91 cited
    • 2012Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates81 cited
    • 2010Localized Realized Volatility Modeling81 cited
    • 2020Volatility persistence in cryptocurrency markets under structural breaks78 cited
    • 2013Modelling changes in the unconditional variance of long stock return series72 cited
    • 2010Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study71 cited
    • 2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching65 cited
    • 2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure64 cited
    • 2014True or spurious long memory in volatility: Further evidence on the energy futures markets61 cited
    • 2013Exchange–Rates Volatility in Nigeria: Application of GARCH Models with Exogenous Break51 cited