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Level Shifts in Volatility and the Implied-Realized Volatility Relation
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The 46 checked references that resolve
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Inference on the cointegration rank in fractionally integrated processes
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
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Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation
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Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
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What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks
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Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates
resolves10.1016/j.jempfin.2003.03.001
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
resolves10.1016/0304-4076(81)90079-8
Some properties of time series data and their use in econometric model specification
resolves10.1111/j.1468-0084.1986.mp48003002.x
DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
resolves10.2307/1912559
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
resolves10.2307/2938278
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
resolves10.1016/j.jempfin.2009.10.001
Modeling and forecasting stock return volatility using a random level shift model
resolves10.1162/003465304323023886
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
resolves10.2202/1558-3708.1092
Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
resolves10.1080/13504850500425147
A structural common factor approach to core inflation estimation and forecasting
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Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
resolves10.1016/j.jeconom.2006.10.008
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
resolves10.1198/jbes.2009.06171
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
resolves10.1007/bf01199901
Rates of convergence and optimal spectral bandwidth for long range dependence
resolves10.1093/oso/9780199257294.003.0015
Semiparametric Frequency Domain Analysis of Fractional Cointegration
resolves10.2139/ssrn.1434792
A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility
The 4 references without a DOI — listed, not checked
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no DOI — not checkedref47
no DOI — not checkedPanel (a) reports the series of log-volatility of the future contracts on S&P from 4/1988 to 10/2007, Panel (b) reports the series of log-volatility of the spot contracts on S&P from 1
no DOI — not checkedIglesias: Asymptotic normality of the QMLE in the level-effect ARCH model 2010-49: Christian D. Dick, Maik Schmeling and Andreas Schrimpf: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia 2010-50: Bent Jesper Christensen and Petra Posedel: The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model 2010-51: Christos Ntantamis: A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
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