LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

DOI10.1081/ETC-120015382zbMath1066.91563OpenAlexW3122013013MaRDI QIDQ4817431

Jonathan H. Wright

Publication date: 22 September 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120015382

zbMATH Keywords

stochastic volatilityfractional integrationsemiparametric methodsStock returns

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (5)

Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ Gaussian inference on certain long-range dependent volatility models ⋮ Fractional differencing in discrete time ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility

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