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  • Search: subject:"Long memory stochastic volatility"
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Year of publication
Subject
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Long memory stochastic volatility 6 ARCH model 5 ARCH-Modell 5 Estimation theory 5 Schätztheorie 5 Stochastic process 5 Stochastischer Prozess 5 Volatility 5 Volatilität 5 Capital income 3 Kapitaleinkommen 3 Time series analysis 3 Zeitreihenanalyse 3 Estimation 2 Measurement error 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 Realized variance 2 Schätzung 2 ARFIMA model 1 ARMA model 1 ARMA-Modell 1 Analysis of variance 1 Asymptotic normality 1 Bias reduction 1 Conditional Gaussian observed Markov switching model 1 Fast filter 1 High Frequency Data 1 Kalman filter 1 Least absolute deviation estimator 1 Local Whittle estimation 1 Local Whittle estimator 1 Log periodogram regression 1 Long Memory Stochastic Volatility Model 1 Long-memory stochastic volatility model 1 Markov chain 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Parameter estimation 1
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Online availability
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Undetermined 4 Free 3
Type of publication
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Article 5 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5
Language
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English 7 Undetermined 2
Author
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Rossi, Eduardo 2 Santucci de Magistris, Paolo 2 Chronopoulou, Alexandra 1 Dalla, Violetta 1 Deo, Rohit 1 Frederiksen, Per 1 Ho, Hwai-chung 1 Hurvich, Clifford 1 Lee, Jin 1 Lu, Yi 1 Nielsen, Morten Ørregaard 1 Spiliopoulos, Konstantinos 1 Yap, Grace Lee Ching 1
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Institution
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Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 EconWPA 1 Econometric Society 1 School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 Computational economics 1 DEM Working Papers Series 1 Econometric Society 2004 Far Eastern Meetings 1 Econometric reviews 1 Econometrics 1 Journal of econometrics 1 Journal of empirical finance 1 Quantitative finance 1
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Source
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ECONIS (ZBW) 5 RePEc 4
Showing 1 - 9 of 9
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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - Dipartimento di Scienze Economiche e Aziendali, … - 2012
A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is a long memory process of order d, the integrated variance is characterized by the same long-range dependence. We prove that the spectral density of realized variance is given by the sum...
Persistent link: https://www.econbiz.de/10010592258
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Sample quantile analysis for long-memory stochastic volatility models
Ho, Hwai-chung - In: Journal of econometrics 189 (2015) 2, pp. 360-370
Persistent link: https://www.econbiz.de/10011504558
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Power transformations of absolute returns and long memory estimation
Dalla, Violetta - In: Journal of empirical finance 33 (2015), pp. 1-18
Persistent link: https://www.econbiz.de/10011556833
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Bias-reduced estimation of long memory stochastic volatility
Frederiksen, Per; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2008
for long memory stochastic volatility models with potential nonstation- arity in the volatility process. We show that the …
Persistent link: https://www.econbiz.de/10005440062
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
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Wavelet transform for log periodogram regression in long memory stochastic volatility model
Lee, Jin - Econometric Society - 2004
memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983 …We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long …
Persistent link: https://www.econbiz.de/10005130237
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Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
Deo, Rohit; Hurvich, Clifford; Lu, Yi - EconWPA - 2005
We study the modeling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV …
Persistent link: https://www.econbiz.de/10005556335
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