Refined Inference on Long Memory in Realized Volatility

DOI10.1080/07474930701873374MaRDI QIDQ3539875zbMATH OpenOpenAlexFDO

Authors Offer Lieberman, Peter C. B. Phillips

Publication date 19 November 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/363

zbMATH Keywords

Edgeworth expansionlong memoryrealized volatility

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Estimation of long memory in integrated variance
• TESTING FOR LONG MEMORY IN VOLATILITY
• Estimating Long Memory in Volatility
• Long memory in integrated and realized variance
• scientific article; zbMATH DE number 1944316

Cites work

• A Tale of Two Time Scales
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Exact local Whittle estimation of fractional integration
• Expansions for approximate maximum likelihood estimators of the fractional difference parameter
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Gaussian semiparametric estimation of long range dependence
• scientific article; zbMATH DE number 3512673 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Log-periodogram regression of time series with long range dependence
• Modeling and Forecasting Realized Volatility
• Nonstationarity-extended local Whittle estimation
• The Distribution of Realized Exchange Rate Volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Time series: theory and methods.

Cited in

(18)

• Fractionally differenced Gegenbauer processes with long memory: a review
• Inference on the long-memory properties of time series with non-stationary volatility
• Estimating stochastic volatility models using realized measures
• Long memory in integrated and realized variance
• A complete asymptotic series for the autocovariance function of a long memory process
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Realized Volatility and Long Memory: An Overview
• Realized Volatility: A Review
• Why Aggregate Long Memory Time Series?
• Stationary integrated ARCH() and AR() processes with finite variance
• Estimation and pricing under long-memory stochastic volatility
• Semiparametric inference in correlated long memory signal plus noise models
• Estimation of long memory in integrated variance
• Latent local-to-unity models
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
• We modeled long memory with just one lag!
• A multivariate stochastic volatility model with generalized factor dynamics

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Refined Inference on Long Memory in Realized Volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3539875)