Refined Inference on Long Memory in Realized Volatility

DOI10.1080/07474930701873374zbMath1359.91033OpenAlexW1972610679MaRDI QIDQ3539875

Offer Lieberman, Peter C. B. Phillips

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/363

zbMATH Keywords

long memoryEdgeworth expansionrealized volatility

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ A complete asymptotic series for the autocovariance function of a long memory process ⋮ A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE ⋮ Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models ⋮ Long Memory in Integrated and Realized Variance ⋮ Latent local-to-unity models ⋮ We modeled long memory with just one lag! ⋮ Estimating stochastic volatility models using realized measures ⋮ Realized Volatility and Long Memory: An Overview ⋮ Realized Volatility: A Review ⋮ Why Aggregate Long Memory Time Series? ⋮ Estimation and pricing under long-memory stochastic volatility

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Nonstationarity-extended local Whittle estimation
• Time series: theory and methods.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Exact local Whittle estimation of fractional integration
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Expansions for approximate maximum likelihood estimators of the fractional difference parameter
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales