MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES

In this article we estimate the order of integration of the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques,namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I(d) statistical models, with values of d higher than 0, indicating long-memory behaviour.

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Year of publication:	2005-06
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis A.
Institutions:	Economics and Finance Section, School of Social Sciences, Brunel University

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Extent:	application/pdf
Series:	Economics and Finance Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	9 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005403880