Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
This paper proposes to model and forecast realized volatility (RV) using the fractional Ornstein-Uhlenbeck (fO-U) process with a general Hurst parameter, H. A two-stage method is introduced for estimating parameters in the fO-U process based on discrete-sampled observations. In the first stage, H is...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2592 https://ink.library.smu.edu.sg/context/soe_research/article/3591/viewcontent/ModelingRealizedVolatility_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |