Econometric estimation in long-range dependent volatility models: theory and practice
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Publication:299258
DOI10.1016/J.JECONOM.2008.09.035zbMATH Open1429.62463OpenAlexW2014515514MaRDI QIDQ299258FDOQ299258
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.035
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
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Cited In (22)
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Long-Range Dependent Curve Time Series
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- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Sequential Monte Carlo for fractional stochastic volatility models
- Statistical estimation for stationary models with tapered data
- Statistical inference for stationary linear models with tapered data
- Parameter estimation for Lévy-driven continuous-time linear models with tapered data
- NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations
- Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
- Estimation of Long Memory in Integrated Variance
- Estimation and pricing under long-memory stochastic volatility
- Robust estimation for continuous-time linear models with memory
- A two-sample test for comparison of long memory parameters
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- On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Estimation of stochastic volatility with LRD
- Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model
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