Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
DOI10.1016/S0304-4076(99)00079-2zbMATH Open0966.62078MaRDI QIDQ1584769FDOQ1584769
Authors: Tim Bollerslev, Jonathan H. Wright 
Publication date: 17 August 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Recommendations
exchange rateslong memorystochastic volatilityhigh-frequency datatemporal aggregationlog-periodogram regressions
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (14)
- Temporal aggregation of lognormal AR processes
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- Market integration, systemic risk and diagnostic tests in large mixed panels
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
- The memory of stochastic volatility models
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
- Financial econometrics: Past developments and future challenges
- More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
- Modelling structural breaks, long memory and stock market volatility: an overview
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
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