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
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Cited In (25)
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Long-Range Dependent Curve Time Series
- Maximum likelihood estimators of a long-memory process from discrete observations
- 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
- Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
- NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations
- Gaussian inference on certain long-range dependent volatility models
- 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
- Long-range dependence in mean and volatility: models, estimation and forecasting
- Robust estimation for continuous-time linear models with memory
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- Long run recursive VAR models and QR decompositions.
- Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
- 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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