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Properties of the sample autocorrelations of nonlinear transformations in long-memory stochastic volatility models
Pérez, Ana; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 420-444
Persistent link: https://www.econbiz.de/10002214167
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Maximally autocorrelated power transformations : a closer look at the properties of stochastic volatility models
Ruiz, Esther; Pérez, Ana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10009656089
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A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
Mármol, Francesc; Pérez, Ana; Reboredo, Juan Carlos - In: Anales de estudios económicos y empresariales 18 (2008), pp. 69-89
Persistent link: https://www.econbiz.de/10009538335