This data and MATLAB code package reproduce the empirical results from the paper titled 'Weak Identification of Long Memory with Implications for Volatility Modeling' by Jia Li, Peter C. B. Phillips,
This table reports the Mincer-Zarnowitz regression result for the model performance comparison regarding the out-of-sample realized variance. RV0 represents the single variable regression for our mode
ABSTRACT This study aims to evaluate how the after-market and pre-opening periods affect the estimation of conditional volatility one day ahead. Volatility features quite a lot in Finance studies beca