Distinguishing short and long memory volatility specifications

DOI10.1111/J.1368-423X.2008.00251.XzbMATH Open1153.91556OpenAlexW3123363587MaRDI QIDQ3548528FDOQ3548528

Authors: Shiuyan Pong, Mark B. Shackleton, Stephen Taylor 

Publication date: 15 December 2008

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00251.x

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zbMATH Keywords

powersizelong memoryvolatilityspectral test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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• Time series: theory and methods.
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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• The Distribution of Realized Exchange Rate Volatility
• Tests for Hurst effect
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Semiparametric analysis of long-memory time series
• Long memory processes and fractional integration in econometrics
• Modeling and pricing long memory in stock market volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Comparing the bias and misspecification in ARFIMA models
• The detection and estimation of long memory in stochastic volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
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• Long memory relationships and the aggregation of dynamic models
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
• Varieties of long memory models
• Asset price dynamics, volatility, and prediction.
• A note on calculating the autocovariances of the fractionally integrated ARMA models

Cited In (2)

• Modelling volatility dependence with score copula models
• Dynamic factor long memory volatility

Uses Software

• longmemo

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