Estimation of long memory in volatility
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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Cited in
(39)- The detection and estimation of long memory in stochastic volatility
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Modeling long memory in stock market volatility
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Inference on the long-memory properties of time series with non-stationary volatility
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Modelling squared returns using a SETAR model with long-memory dynamics
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
- Estimation of long memory in volatility using wavelets
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- A multiple indicators model for volatility using intra-daily data
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- Realized Volatility and Long Memory: An Overview
- Refined Inference on Long Memory in Realized Volatility
- Distinguishing short and long memory volatility specifications
- Stochastic Volatility Models with Long Memory
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- Estimating volatility for long holding periods
- Estimation and pricing under long-memory stochastic volatility
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- Global semiparametric estimation of long-memory signal plus noise processes
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations
- Estimating the long rate and its volatility
- Estimation of long memory in integrated variance
- Estimating Long Memory in Volatility
- Bayesian estimation of long memory models and its application to exchange rates
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
- Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
- Finite sample properties of a QML estimator of stochastic volatility models with long memory.
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- Statistical estimation for CAPM with long-memory dependence
- Sample quantile analysis for long-memory stochastic volatility models
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