We consider semiparametric estimation of the memory parameter in a modelwhich includes as special cases both the long-memory stochasticvolatility (LMSV) and fractionally integrated exponential GARCH(FIEGARCH) models. Under our general model the logarithms of the squaredreturns can be decomposed...

We consider the asymptotic behavior of log-periodogram regression estimators ofthe memory parameter in long-memory stochastic volatility models, under the nullhypothesis of short memory in volatility. We show that in this situation, if theperiodogram is computed from the log squared returns,...