Signal extraction in long memory stochastic volatility
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Recommendations
- The detection and estimation of long memory in stochastic volatility
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Stochastic Volatility Models with Long Memory
- Estimating Long Memory in Volatility
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
Cites work
- Estimating Long Memory in Volatility
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Gaussian semiparametric estimation of long range dependence
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Multivariate Stochastic Variance Models
- Non-stationary log-periodogram regression
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Semiparametric estimation in perturbed long memory series
- Semiparametric inference in seasonal and cyclical long memory processes
- Signal extraction from nonstationary time series
- The detection and estimation of long memory in stochastic volatility
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