In this paper we are concerned with estimating the fractional order of integration associated with a long-memory stochastic volatility model. We develop a new Bayesian estimator based on the Markov chain Monte Carlo sampler and the wavelet representation of the log-squared returns to draw values...

In this paper, a semiparametric, Bayesian estimator of the long-memory stochastic volatility model's fractional order of integration is presented. This new estimator relies on a highly efficient, Markov chain Monte Carlo (MCMC) sampler of the model's posterior distribution. The MCMC algorithm is...