The memory of stochastic volatility models

DOI10.1016/S0304-4076(00)00079-8zbMath0966.62079OpenAlexW2010030142MaRDI QIDQ5932777

Peter M. Robinson

Publication date: 17 August 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00079-8

zbMATH Keywords

stochastic volatilitylong memorynonlinear functions of Gaussian processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (29)

Aggregation and memory of models of changing volatility ⋮ Predicting volatility: getting the most out of return data sampled at different frequencies ⋮ Modelling long-range-dependent Gaussian processes with application in continuous-time financial models ⋮ Long Memory in Integrated and Realized Variance ⋮ Projective Stochastic Equations and Nonlinear Long Memory ⋮ On approximate pseudo-maximum likelihood estimation for LARCH-processes ⋮ Unnamed Item ⋮ Sample quantile analysis for long-memory stochastic volatility models ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ Gaussian inference on certain long-range dependent volatility models ⋮ A Class of Antipersistent Processes ⋮ Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory ⋮ Estimation of the volatility persistence in a discretely observed diffusion model ⋮ Log-normal continuous cascade model of asset returns: aggregation properties and estimation ⋮ Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances ⋮ Testing for bubbles and change-points ⋮ TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? ⋮ ARCH-type bilinear models with double long memory. ⋮ \(L_1\)-estimation for the location parameters in stochastic volatility models ⋮ Tests for Volatility Shifts in Garch Against Long‐Range Dependence ⋮ Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models ⋮ Analysis of the correlation structure of square time series ⋮ On location estimation for LARCH processes ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS ⋮ The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility ⋮ ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES ⋮ Covariance stationary GARCH-family models with long memory property ⋮ Consistent estimation of the memory parameter for nonlinear time series

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