Pages that link to "Item:Q1377319"
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The following pages link to The detection and estimation of long memory in stochastic volatility (Q1377319):
Displaying 50 items.
- Misspecification tests for periodic long memory GARCH models (Q257484) (← links)
- Behaviour of skewness, kurtosis and normality tests in long memory data (Q257542) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- A wavelet Whittle estimator of generalized long-memory stochastic volatility (Q261551) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- Aggregation and memory of models of changing volatility (Q278251) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (Q292001) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- Tail index estimation in the presence of long-memory dynamics (Q425381) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Spurious regression (Q609686) (← links)
- The tail empirical process for long memory stochastic volatility sequences (Q617913) (← links)
- Bayesian estimation and the application of long memory stochastic volatility models (Q713736) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- Statistical estimation for CAPM with long-memory dependence (Q764801) (← links)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
- Estimation of stochastic volatility with LRD (Q929714) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- The effect of long memory in volatility on location estimation (Q987070) (← links)
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
- Semiparametric estimation in perturbed long memory series (Q1010559) (← links)
- A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
- Estimation of fractional integration in the presence of data noise (Q1019941) (← links)
- Generalised long-memory GARCH models for intra-daily volatility (Q1020691) (← links)
- Memory properties and aggregation of spatial autoregressive models (Q1021992) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- A new estimator of the fractionally integrated stochastic volatility model (Q1292339) (← links)
- Extremes of stochastic volatility models (Q1296598) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Estimation of stochastic volatility models with diagnostics (Q1372927) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
- Nonlinear log-periodogram regression for perturbed fractional processes (Q1398966) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Forecasting exchange rate volatility. (Q1603860) (← links)
- Multiscale behaviour of volatility autocorrelations in a financial market (Q1606375) (← links)
- Semi-parametric smoothing estimators for long-memory processes with added noise (Q1611815) (← links)
