We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of …-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …

parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully … volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility are found …

alleviating finite sample biases arising from the pronounced intraday volatility pattern that afflicts alternative jump … study corroborate the robustness and efficiency properties of the new estimators. -- Integrated volatility ; jump robust …