Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
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Cited in
(16)- Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
- More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
- Modelling structural breaks, long memory and stock market volatility: an overview
- Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
- Market integration, systemic risk and diagnostic tests in large mixed panels
- Financial econometrics: Past developments and future challenges
- The memory of stochastic volatility models
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Temporal aggregation of lognormal AR processes
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
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