LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431): Difference between revisions

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scientific article; zbMATH DE number 2102314

Language	Label	Description	Also known as
English	LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS	scientific article; zbMATH DE number 2102314

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instance of

scholarly article

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title

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (English)

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22 September 2004

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zbMATH Keywords

semiparametric methods

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fractional integration

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stochastic volatility

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Stock returns

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MaRDI profile type

MaRDI publication profile

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cites work

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

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Varieties of long memory models

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Fractional differencing

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Modeling and pricing long memory in stock market volatility

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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The detection and estimation of long memory in stochastic volatility

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A Nonparametric Test for I(0)

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Long memory processes and fractional integration in econometrics

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Log-periodogram regression of time series with long range dependence

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The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

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Non-stationary log-periodogram regression

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Gaussian semiparametric estimation of long range dependence

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LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS

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Q4884570

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Tests for Hurst effect

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Estimation of stochastic volatility models with diagnostics

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The sample autocorrelations of heavy-tailed processes with applications to ARCH

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Identifiers

zbMATH Open document ID

1066.91563

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DOI

10.1081/ETC-120015382

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4817431

@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
+Normal rank
@@ Property / cites work @@
+Varieties of long memory models
@@ Property / cites work: Varieties of long memory models / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+A Nonparametric Test for I(0)
@@ Property / cites work: A Nonparametric Test for I(0) / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
+Normal rank
@@ Property / cites work @@
+Non-stationary log-periodogram regression
@@ Property / cites work: Non-stationary log-periodogram regression / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN  ESTIMATING THE MEMORY PARAMETER OF LEVELS
+Normal rank
@@ Property / cites work @@
+Q4884570
@@ Property / cites work: Q4884570 / rank @@
+Normal rank
@@ Property / cites work @@
+Tests for Hurst effect
@@ Property / cites work: Tests for Hurst effect / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of stochastic volatility models with diagnostics
+Normal rank
@@ Property / cites work @@
+The sample autocorrelations of heavy-tailed processes with applications to ARCH
+Normal rank