A new estimator of the fractionally integrated stochastic volatility model
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Publication:1292339
DOI10.1016/S0165-1765(99)00046-4zbMATH Open0922.90032OpenAlexW2048155618WikidataQ127452087 ScholiaQ127452087MaRDI QIDQ1292339FDOQ1292339
Authors: Jonathan H. Wright 
Publication date: 21 June 1999
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00046-4
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Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- A minimum distance estimator for long-memory processes
- Long memory processes and fractional integration in econometrics
- The detection and estimation of long memory in stochastic volatility
- The asymptotic distribution of serial covariances
Cited In (9)
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Fractional differencing in discrete time
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
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