Stochastic Volatility Models with Long Memory

DOI10.1007/978-3-540-71297-8_14zbMath1178.91225OpenAlexW36258007MaRDI QIDQ3646960

Philippe Soulier, Clifford M. Hurvich

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_14

zbMATH Keywords

estimationlatent volatility processlong-memory stochastic volatility (LMSV)

Mathematics Subject Classification ID

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

Related Items (4)

Long Memory in Integrated and Realized Variance ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ CEV model equipped with the long-memory

This page was built for publication: Stochastic Volatility Models with Long Memory