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We transfer the recently introduced fast fractional differencing that utilizes fast Fourier transforms (FFT) to long memory variance models and show that this approach offers immense computation speedups. We demonstrate how calculation times of parameter estimations benefit from this new approach without changing the estimation procedure. A more precise depiction of long memory behavior becomes feasible...
We expand the literature of volatility and Value-at-Risk forecasting of oil price returns by comparing the recently proposed Mixture Memory GARCH (MMGARCH) model to other discrete volatility models (GARCH, RiskMetrics, EGARCH, APARCH, FIGARCH, HYGARCH, and FIAPARCH). We incorporate an Expectation-Maximization algorithm for parameter estimation of the MMGARCH and find different structures in volatility...
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