Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume-Reference-Cited by-同舟云学术

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Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Published:2021-07-11 Issue:5 Volume:36 Page:544-565
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J of Applied Econometrics

Author:

Balboa Marina¹,Rodrigues Paulo M. M.²,Rubia Antonio¹,Taylor A. M. Robert³

Affiliation:

1. Department of Financial Economics and Accounting University of Alicante Alicante Spain

2. Banco de Portugal and Nova SBE Universidade Nova de Lisboa Lisbon Portugal

3. Essex Business School University of Essex Essex UK

Funder

Fundação para a Ciência e a Tecnologia

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2829

Reference43 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. Modeling and Forecasting Realized Volatility

3. Long memory processes and fractional integration in econometrics

4. Long Memory and the Relation Between Implied and Realized Volatility

5. Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies

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