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 in high-frequency exchange rate volatility under temporal aggregation (Q3502187) (← links)
• Temporal Aggregation and Bandwidth selection in estimating long memory (Q3505325) (← links)
• Why Aggregate Long Memory Time Series? (Q3539877) (← links)
• Distinguishing short and long memory volatility specifications (Q3548528) (← links)
• Periodic Long-Memory GARCH Models (Q3615077) (← links)
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES (Q3632430) (← links)
• A generalized ARFIMA process with Markov-switching fractional differencing parameter (Q3638584) (← links)
• LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH (Q4540642) (← links)
• Long memory stochastic volatility : A bayesian approach (Q4550616) (← links)
• Sequential Monte Carlo for fractional stochastic volatility models (Q4554435) (← links)
• Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834) (← links)
• Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
• Multiresolution approximation for volatility processes (Q4646772) (← links)
• Volatility processes and volatility forecast with long memory (Q4647598) (← links)
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models (Q4677047) (← links)
• TESTING FOR LONG MEMORY IN VOLATILITY (Q4807333) (← links)
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)
• On the Autocorrelation Properties of Long‐Memory GARCH Processes (Q4828181) (← links)
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509) (← links)
• On periodic autoregressive stochastic volatility models: structure and estimation (Q4960634) (← links)
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES (Q4979940) (← links)
• Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets (Q5030162) (← links)
• The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) (← links)
• Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models (Q5080154) (← links)
• Almost sure limit theorems for the maxima of stochastic volatility models (Q5086638) (← links)
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend (Q5106867) (← links)
• A memory-based method to select the number of relevant components in principal component analysis (Q5131521) (← links)
• Inference of Seasonal Long‐memory Time Series with Measurement Error (Q5177955) (← links)
• The Slow Convergence of Ordinary Least Squares Estimators of <i>α</i>, <i>β</i> and Portfolio Weights under Long‐Memory Stochastic Volatility (Q5226148) (← links)
• A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering (Q5234327) (← links)
• Testing for Change in Long‐Memory Stochastic Volatility Time Series (Q5237528) (← links)
• Two-sample <i>U</i>-statistic processes for long-range dependent data (Q5276171) (← links)
• Estimating Long Memory in Volatility (Q5393932) (← links)
• Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468) (← links)
• Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series (Q5397967) (← links)
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models (Q5430505) (← links)
• How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)
• MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS (Q5704727) (← links)
• Log-Optimal Portfolios with Memory Effect (Q5742509) (← links)
• Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
• Multiscale analysis of economic time series by scale-dependent Lyapunov exponent (Q5746760) (← links)
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (Q5864370) (← links)
• A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
• The memory of stochastic volatility models (Q5932777) (← links)
• Finite sample properties of a QML estimator of stochastic volatility models with long memory. (Q5940734) (← links)
• A generalized bivariate mixture model for stock price volatility and trading volume (Q5944504) (← links)
• Out-of-sample forecast errors in misspecific perturbed long memory processes. (Q5956472) (← links)
• Estimation and forecasting of long memory stochastic volatility models (Q6039116) (← links)
• Volatility is (mostly) path-dependent (Q6053108) (← links)