$Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process$

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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書目詳細資料
Main Authors:	WANG, Xiaohu, XIAO, Weilin, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2023
主題:	Rough volatility Fractional Ornstein-Uhlenbeck process Hurst parameter Long memory Anti-persistent errors Out-of-sample forecasting ARFIMA Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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