We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in ARMA time series models and apply our modeling framework to daily realized volatility. Asymptotic theory for parameter estimation is developed and two model building procedures are proposed. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evidence of nonlinear effects.
Originalsprog
Engelsk
Udgivelsessted
Aarhus
Udgiver
Institut for Økonomi, Aarhus Universitet
Antal sider
42
Status
Udgivet - 2 jul. 2012
Serietitel
CREATES Research Papers
Nummer
2012-30
Forskningsområder
Smooth transitions, long memory, forecasting, realized volatility
