Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

This study estimates the order of integration in 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:	2006
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis A.
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 2.2006, 1, p. 9-12
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639948