Bayesian estimation and the application of long memory stochastic volatility models

DOI10.1016/j.stamet.2006.01.001zbMath1248.62162OpenAlexW2080191580MaRDI QIDQ713736

Lixia Xu, Cihua Liu, Gaoqin Nie

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2006.01.001

zbMATH Keywords

ARFIMAspectral periodogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Estimation and forecasting of long memory stochastic volatility models ⋮ Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models

Cites Work

• Time series: theory and methods
• A limit theory for long-range dependence and statistical inference on related models
• The detection and estimation of long memory in stochastic volatility
• Long memory processes and fractional integration in econometrics
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

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