Estimation of , and portfolio weights in a pure-jump model with long memory in volatility

DOI10.1016/J.SPA.2020.09.005OpenAlexW3088103024MaRDI QIDQ2145810FDOQ2145810

Authors: Clifford Hurvich, Yi-Chen Zhang 

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.09.005

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zbMATH Keywords

long memoryslow convergencebivariate pure-jump modellog Gaussian Cox process

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The pricing of options and corporate liabilities
• An Introduction to the Theory of Point Processes
• Log Gaussian Cox Processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
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• Testing for Common Trends
• Modelling microstructure noise with mutually exciting point processes
• On covariance estimation of non-synchronously observed diffusion processes
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration
• Limit laws in transaction-level asset price models
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Drift in transaction-level asset price models

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