Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

DOI10.1016/S0304-4076(99)00079-2zbMath0966.62078MaRDI QIDQ1584769

Jonathan H. Wright, Tim Bollerslev

Publication date: 17 August 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitylong memoryhigh-frequency dataexchange ratestemporal aggregationlog-periodogram regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Economic time series analysis (91B84)

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Uses Software

• longmemo

Cites Work

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