Pages that link to "Item:Q1377319"

The following pages link to The detection and estimation of long memory in stochastic volatility (Q1377319):

Displaying 50 items.

• Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
• When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
• Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
• Inference on the long-memory properties of time series with non-stationary volatility (Q1668281) (← links)
• Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← links)
• Parameter estimation for long-memory stochastic volatility at discrete observation (Q1724169) (← links)
• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
• No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
• Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
• Long strange segments of a stochastic process. (Q1872448) (← links)
• A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
• Semiparametric exploration of long memory in stock prices (Q1918155) (← links)
• Long memory processes and fractional integration in econometrics (Q1922357) (← links)
• Varieties of long memory models (Q1922359) (← links)
• Short and long memory in stock returns data (Q1925895) (← links)
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
• Modelling squared returns using a SETAR model with long-memory dynamics (Q1927744) (← links)
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets (Q1978479) (← links)
• On optimal block resampling for Gaussian-subordinated long-range dependent processes (Q2112834) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility (Q2145810) (← links)
• Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models (Q2148604) (← links)
• On a class of estimation and test for long memory (Q2153233) (← links)
• Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145) (← links)
• Dynamic tail inference with log-Laplace volatility (Q2191426) (← links)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
• The tail empirical process for long memory stochastic volatility models with leverage (Q2326064) (← links)
• Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process (Q2375847) (← links)
• Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
• Periodic autoregressive stochastic volatility (Q2412761) (← links)
• A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
• Stochastic volatility and fractional Brownian motion (Q2485787) (← links)
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• Estimation methods for the LRD parameter under a change in the mean (Q2633430) (← links)
• Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
• Estimation of long memory in volatility using wavelets (Q2691712) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• MCMC Bayesian Estimation in FIEGARCH Models (Q2828706) (← links)
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
• Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
• LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING (Q3023923) (← links)
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
• Consistent estimation of the memory parameter for nonlinear time series (Q3440757) (← links)
• Bayesian methods for change-point detection in long-range dependent processes (Q3440773) (← links)
• SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY (Q3465608) (← links)