We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model....

The autocorrelations of log-squared, squared, and absolute financial returns are often used to infer the dynamic properties of the underlying volatility. This article shows that, in the context of long-memory stochastic volatility models, these autocorrelations are smaller than the...

Incomplete observations are a common feature of financial applications that use survey response, annual report, and proprietary banking and security issue and pricing data. Finance researchers use a variety of procedures, including deleting offending observations and imputing ad hoc values, that...

This article derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross products. Results are provided for the kurtosis and cokurtosis...

Using a stochastic volatility option pricing model, we show that the implied volatilities of at-the-money options are not necessarily unbiased and that the fixed interval time-series can produce misleading results. Our results do not support the expectations hypothesis: long-term volatilities...

In this article we introduce the concept of excess volume durations, which are defined as the time until a given amount of buy or sell excess volume is traded on the market. Excess volume durations indicate the one-sided intensity of liquidity demand and characterize the risk of a market maker...