Signal extraction in long memory stochastic volatility

DOI10.1017/S0266466614000735MaRDI QIDQ3465608zbMATH OpenFDO

Authors Josu Arteche

Publication date 22 January 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466614000735

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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• 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

Cited in

(3)

• Permanent shocks, signal extraction, and portfolio selection
• A bootstrap approximation for the distribution of the local Whittle estimator
• Frequency domain local bootstrap in short and long memory time series

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