Finite sample properties of a QML estimator of stochastic volatility models with long memory.

DOI10.1016/S0165-1765(00)00373-6zbMath1110.62335OpenAlexW2101913545MaRDI QIDQ5940734

Ana Pérez, Esther Ruiz Ortega

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00373-6

zbMATH Keywords

stochastic volatilityfractional integrationquasi-maximum likelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models ⋮ On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ Long memory and asymmetry for matrix-exponential dynamic correlation processes ⋮ Semiparametric estimation in perturbed long memory series ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers ⋮ Semi-parametric smoothing estimators for long-memory processes with added noise

Cites Work

• Quasi-maximum likelihood estimation of stochastic volatility models
• The detection and estimation of long memory in stochastic volatility
• Multivariate Stochastic Variance Models

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