ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

DOI10.1017/S0266466601174025MaRDI QIDQ4807262zbMATH OpenOpenAlexFDO

Authors Rohit Deo, Clifford Hurvich

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466601174025

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(55)

• On Estimation of Hurst Parameter Under Noisy Observations
• Estimation of stochastic volatility with LRD
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
• Asymptotics for duration-driven long range dependent processes
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Fractional differencing in discrete time
• Consistent inference for predictive regressions in persistent economic systems
• Estimation of long memory in integrated variance
• Sample quantile analysis for long-memory stochastic volatility models
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Nonlinear log-periodogram regression for perturbed fractional processes
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Semiparametric estimation in perturbed long memory series
• Filtered log-periodogram regression of long memory processes
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Semiparametric nonlinear log-periodogram regression estimation for perturbed stationary anisotropic long memory random fields
• Log-periodogram regression in asymmetric long memory.
• Consistent estimation of the memory parameter for nonlinear time series
• MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
• Local polynomial Whittle estimation of perturbed fractional processes
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• scientific article; zbMATH DE number 1944316 (Why is no real title available?)
• When long memory meets the Kalman filter: a comparative study
• scientific article; zbMATH DE number 1538072 (Why is no real title available?)
• Signal extraction in long memory stochastic volatility
• A wavelet Whittle estimator of generalized long-memory stochastic volatility
• Estimating Long Memory in Volatility
• Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
• Issues in the estimation of mis-specified models of fractionally integrated processes
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Bayesian estimation and the application of long memory stochastic volatility models
• Bootstrap-based bandwidth choice for log-periodogram regression
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Estimation of the long memory parameter in stochastic volatility models by quadratic variations
• Estimation and forecasting of long memory stochastic volatility models
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Long memory and regime switching in the stochastic volatility modelling
• Parameter estimation for long-memory stochastic volatility at discrete observation
• Higher-order kernel semiparametric M-estimation of long memory
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• The memory of stochastic volatility models
• Finite sample properties of a QML estimator of stochastic volatility models with long memory.
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• scientific article; zbMATH DE number 727022 (Why is no real title available?)
• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Semiparametric inference in correlated long memory signal plus noise models
• Estimation of the volatility persistence in a discretely observed diffusion model
• Econometric estimation in long-range dependent volatility models: theory and practice
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

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