Stochastic Volatility Models with Long Memory

DOI10.1007/978-3-540-71297-8_14MaRDI QIDQ3646960zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich, Philippe Soulier

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_14

zbMATH Keywords

estimationlatent volatility processlong-memory stochastic volatility (LMSV)

Mathematics Subject Classification ID

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

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Cited in

(25)

• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• Nonlinear time series with long memory: A model for stochastic volatility
• The detection and estimation of long memory in stochastic volatility
• Semi-parametric smoothing estimators for long-memory processes with added noise
• CEV model equipped with the long-memory
• The tail empirical process for long memory stochastic volatility models with leverage
• Long memory in continuous-time stochastic volatility models
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
• Long memory in integrated and realized variance
• Signal extraction in long memory stochastic volatility
• Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
• Realized Volatility and Long Memory: An Overview
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Estimation and pricing under long-memory stochastic volatility
• The multivariate supOU stochastic volatility model
• Estimation of the long memory parameter in stochastic volatility models by quadratic variations
• Long Memory in Finance and Fractional Brownian Motion
• The memory of stochastic volatility models
• Finite sample properties of a QML estimator of stochastic volatility models with long memory.
• Estimation and forecasting of long memory stochastic volatility models
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Fractional stochastic volatility model
• Bayesian estimation and the application of long memory stochastic volatility models
• Sample quantile analysis for long-memory stochastic volatility models

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