A new estimator of the fractionally integrated stochastic volatility model
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Publication:1292339
DOI10.1016/S0165-1765(99)00046-4zbMath0922.90032OpenAlexW2048155618WikidataQ127452087 ScholiaQ127452087MaRDI QIDQ1292339
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
Related Items (4)
Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models ⋮ Semi-parametric smoothing estimators for long-memory processes with added noise
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- The asymptotic distribution of serial covariances
- The detection and estimation of long memory in stochastic volatility
- A minimum distance estimator for long-memory processes
- Long memory processes and fractional integration in econometrics
- 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
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