Pages that link to "Item:Q5393932"

The following pages link to Estimating Long Memory in Volatility (Q5393932):

Displaying 50 items.

• A semiparametric two-step estimator in a multivariate long memory model (Q145472) (← links)
• A wavelet Whittle estimator of generalized long-memory stochastic volatility (Q261551) (← links)
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
• Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
• Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
• Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
• Estimating the long rate and its volatility (Q500503) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← 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)
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration (Q867849) (← links)
• Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
• The effect of round-off error on long memory processes (Q905390) (← links)
• Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
• Multiple local Whittle estimation in stationary systems (Q955151) (← links)
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression (Q961387) (← 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)
• Estimation of Hurst exponent revisited (Q1020115) (← links)
• A new estimator of the fractionally integrated stochastic volatility model (Q1292339) (← links)
• The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
• Seasonal FIEGARCH processes (Q1615155) (← links)
• When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
• A bootstrap approximation for the distribution of the local Whittle estimator (Q1659154) (← links)
• Inference on the long-memory properties of time series with non-stationary volatility (Q1668281) (← 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)
• Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145) (← links)
• Spectral estimation for non-linear long range dependent discrete time trawl processes (Q2199705) (← links)
• Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
• Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process (Q2375847) (← links)
• Long-run comovements in East Asian stock market volatility (Q2416241) (← links)
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
• Estimators of long-memory: Fourier versus wavelets (Q2628842) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
• Estimation of long memory in volatility using wavelets (Q2691712) (← links)
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
• Local Whittle estimation of fractional integration for nonlinear processes (Q2886971) (← links)
• Long Memory in Integrated and Realized Variance (Q2930712) (← links)
• The averaged periodogram estimator for a power law in coherency (Q2930895) (← links)
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (Q3160947) (← 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)
• SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY (Q3465608) (← links)
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (Q3539876) (← links)