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

DOI10.1016/S0304-4076(99)00079-2zbMath0966.62078MaRDI QIDQ1584769

Jonathan H. Wright, Tim Bollerslev

Publication date: 17 August 2001

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

zbMATH Keywords

stochastic volatilitylong memoryhigh-frequency dataexchange ratestemporal aggregationlog-periodogram regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Economic time series analysis (91B84)

Related Items (13)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ More on the volatility-trading volume relationship in emerging markets: The Chinese stock market ⋮ LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS ⋮ Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ The memory of stochastic volatility models ⋮ TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? ⋮ Gaussian semiparametric estimation of multivariate fractionally integrated processes ⋮ ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR ⋮ Financial econometrics: Past developments and future challenges ⋮ Temporal Aggregation of Lognormal AR processes ⋮ Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data ⋮ Market integration, systemic risk and diagnostic tests in large mixed panels

Uses Software

• longmemo

Cites Work

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