Realized Volatility and Long Memory: An Overview

Esfandiar Maasoumi and Michael McAleer
Authors registered in the RePEc Author Service: Esfandiar Maasoumi and Esfandiar Maasoumi ()

Econometric Reviews, 2008, vol. 27, issue 1-3, pages 1-9

Abstract: The challenge of modeling, estimating, testing, and forecasting financial volatility is both intellectually worthwhile and also central to the successful analysis of financial returns and optimal investment strategies. In each of the three primary areas of volatility modeling, namely, conditional (or generalized autoregressive conditional heteroskedasticity) volatility, stochastic volatility and realized volatility (RV), numerous univariate volatility models of individual financial assets and multivariate volatility models of portfolios of assets have been established. This special issue has eleven innovative articles, eight of which are focused directly on RV and three on long memory, while two are concerned with both RV and long memory.

Keywords: Forecasting; Integrated variance; Realized quarticity; Realized volatility; Returns; Risk; Securities (search for similar items in EconPapers)
Date: 2008

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:1-9

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Econometric Reviews is edited by Esfandiar Maasoumi

More articles in Econometric Reviews from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().