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Home > The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen > Model Selection for Volatility Prediction
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen |
Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; Almut E. D. Veraart
Springer International Publishing
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
Model Selection for Volatility Prediction
Authors

Masayuki Uchida; Nakahiro Yoshida

ARI Id

1664859512780_3817693

Access

Not Available Free

Pages

343-360

DOI

10.1007/978-3-319-25826-3_16

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-319-25826-3_16

Table of Contents of Book
Showing 1 to 20 of 24 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
i-xviii
On the Size Distribution of Sand
Michael Sørensen
1-13
From Wind-Blown Sand to Turbulence and Back
Björn Birnir
15-27
Modelling Turbulent Time Series by BSS-Processes
José Ulises Márquez; Jürgen Schmiegel
29-52
Associated Natural Exponential Families and Elliptic Functions
Gérard Letac
53-83
Cumulants and Bartlett Identities in Cox Regression
Per Aslak Mykland; Jianming Ye
85-97
Exchangeability and Infinite Divisibility
Martin Drapatz; Alexander Lindner
99-126
Lévy Copulas: Review of Recent Results
Peter Tankov
127-151
Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion
Fred Espen Benth; Asma Khedher
153-189
Continuity of Local Time: An Applied Perspective
Jorge M. Ramirez; Enirque A. Thomann; Edward C. Waymire
191-207
Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise
Bohan Chen; Carsten Chong; Claudia Klüppelberg
209-229
On the Process of the Eigenvalues of a Hermitian Lévy process
Victor Pérez-Abreu; Alfonso Rocha-Arteaga
231-249
Likelihood Inference for Exponential-Trawl Processes
Neil Shephard; Justin J. Yang
251-281
The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes
Thibault Jaisson; Mathieu Rosenbaum
283-301
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
Alessandra Luati; Tommaso Proietti
303-315
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
Jean Jacod; Viktor Todorov
317-341
Model Selection for Volatility Prediction
Masayuki Uchida; Nakahiro Yoshida
343-360
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
Peter Reinhard Hansen; Guillaume Horel; Asger Lunde; Ilya Archakov
361-394
Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds
Paul Embrechts; Edgars Jakobsons
395-417
A Beaufort Scale of Predictability
Mark H. A. Davis
419-434
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 20 of 24 entries
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