A new estimator of the fractionally integrated stochastic volatility model
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Cites work
- A minimum distance estimator for long-memory processes
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory processes and fractional integration in econometrics
- The asymptotic distribution of serial covariances
- The detection and estimation of long memory in stochastic volatility
Cited in
(9)- Fractional differencing in discrete time
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Semi-parametric smoothing estimators for long-memory processes with added noise
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