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A new estimator of the fractionally integrated stochastic volatility model

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  • Wright, Jonathan H.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3WRBR6C-7/2/0bb3184cb96ae2f22bc831dead0c4077
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 63 (1999)
Issue (Month): 3 (June)
Pages: 295-303

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Handle: RePEc:eee:ecolet:v:63:y:1999:i:3:p:295-303

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  2. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
  3. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  4. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  5. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
  6. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  7. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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Cited by:
  1. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary, University of London, School of Economics and Finance.
  3. Veiga, Helena, . "A two factor long memory stochastic volatility model," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/234, Universidad Carlos III de Madrid.
  4. Vergote, Olivier, 2008. "Financial transaction data and volatility.," Open Access publications from Katholieke Universiteit Leuven urn:hdl:1979/2067, Katholieke Universiteit Leuven.
  5. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría.
  6. Dhaene, Geert & Vergote, Olivier, 2003. "Asymptotic properties of GMM estimators of stochastic volatility," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/121559, Katholieke Universiteit Leuven.

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