Estimating Long Memory in Volatility
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- scientific article; zbMATH DE number 1944316
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Cited in
(78)- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Multiple local Whittle estimation in stationary systems
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Refined Inference on Long Memory in Realized Volatility
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Local Whittle estimation in time-varying long memory series
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Nonlinear log-wavelet-variance regression for perturbed 2D long memory Gaussian random fields
- Estimation of fractional integration under temporal aggregation
- Judgment can spur long memory
- Global semiparametric estimation of long-memory signal plus noise processes
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
- Seasonal FIEGARCH processes
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- Long memory in integrated and realized variance
- Estimation of Hurst exponent revisited
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
- TESTING FOR LONG MEMORY IN VOLATILITY
- Assessing volatility persistence in fractional Heston models with self-exciting jumps
- When long memory meets the Kalman filter: a comparative study
- The effect of long memory in volatility on location estimation
- Long-run comovements in East Asian stock market volatility
- The detection and estimation of long memory in stochastic volatility
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
- Finite sample properties of a QML estimator of stochastic volatility models with long memory.
- scientific article; zbMATH DE number 1944316 (Why is no real title available?)
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
- Econometric estimation in long-range dependent volatility models: theory and practice
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Semiparametric inference in correlated long memory signal plus noise models
- Fractional stochastic volatility model
- Estimators of long-memory: Fourier versus wavelets
- Asymptotic theory for fractionally integrated asymmetric power ARCH models
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Local polynomial Whittle estimation of perturbed fractional processes
- We modeled long memory with just one lag!
- Local Whittle estimation of fractional integration for nonlinear processes
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- The averaged periodogram estimator for a power law in coherency
- Sample quantile analysis for long-memory stochastic volatility models
- Semiparametric estimation in perturbed long memory series
- Estimation of the volatility persistence in a discretely observed diffusion model
- A bootstrap approximation for the distribution of the local Whittle estimator
- Estimation and pricing under long-memory stochastic volatility
- On Estimation of Hurst Parameter Under Noisy Observations
- A semiparametric two-step estimator in a multivariate long memory model
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- Inference on the long-memory properties of time series with non-stationary volatility
- Signal extraction in long memory stochastic volatility
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Statistical estimation for CAPM with long-memory dependence
- The effect of round-off error on long memory processes
- Indirect inference in fractional short-term interest rate diffusions
- Distinguishing short and long memory volatility specifications
- Estimation and forecasting of long memory stochastic volatility models
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- scientific article; zbMATH DE number 1538072 (Why is no real title available?)
- Estimation of long memory in volatility using wavelets
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Estimating the long rate and its volatility
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Spectral estimation for non-linear long range dependent discrete time trawl processes
- Estimation of long memory in integrated variance
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Whittle estimation of EGARCH and other exponential volatility models
- Consistent estimation of the memory parameter for nonlinear time series
- Volatility processes and volatility forecast with long memory
- Broadband semi-parametric estimation of long-memory time series by fractional exponential models
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