TESTING FOR LONG MEMORY IN VOLATILITY

DOI10.1017/S0266466602186014MaRDI QIDQ4807333zbMATH OpenFDO

Authors Clifford Hurvich, Philippe Soulier

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Edgeworth expansionsGeweke-Porter-Hudak estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(22)

• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Misspecification tests for periodic long memory GARCH models
• Refined Inference on Long Memory in Realized Volatility
• Asymptotics for duration-driven long range dependent processes
• Tests for volatility shifts in GARCH against long-range dependence
• Some long-range dependence processes arising from fluctuations of particle systems
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
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• A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Gaussian inference on certain long-range dependent volatility models
• Semiparametric inference in correlated long memory signal plus noise models
• Rescaled variance and related tests for long memory in volatility and levels
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Estimating Long Memory in Volatility
• Estimation of the volatility persistence in a discretely observed diffusion model
• Distinguishing short and long memory volatility specifications
• A test of the long memory hypothesis based on self-similarity
• TESTING FOR LONG MEMORY
• Estimation of long memory in integrated variance
• Stochastic volatility as a simple generator of apparent financial power laws and long memory

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