We discuss some of the issues pertaining to modelling and estimating long memory in volatility. Themain focus is on … semi parametric estimation of the memory parameter in the long memory stochasticvolatility model. We present the asymptotic … estimator is also presented tostudy its behaviour when the volatility possesses only short memory. We conclude with a …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …