Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210438 
Year of Publication: 
2019
Series/Report no.: 
Working Paper No. 881
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its extensions. This paper assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long memory parameter is often important in addition to the HAR models.
Subjects: 
Long memory
Restricted ARFIMA
Realized volatility
HAR model
Time varying parameters
JEL: 
C22
C31
Document Type: 
Working Paper

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