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Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion

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  • Michael Levine
  • Soledad Torres
  • Frederi Viens

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  • Michael Levine & Soledad Torres & Frederi Viens, 2009. "Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 12(3), pages 221-250, October.
    • Handle: RePEc:spr:sistpr:v:12:y:2009:i:3:p:221-250
    DOI: 10.1007/s11203-008-9030-7
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    References listed on IDEAS

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    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    3. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 211-251, March.
    4. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
    5. K Abadir & W Distaso & L Giraitis, "undated". "Local Whittle estimation, fully extended for nonstationarity," Discussion Papers 05/16, Department of Economics, University of York.
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    Cited by:

    1. Ieva Grublytė & Donatas Surgailis & Andrius Škarnulis, 2017. "QMLE for Quadratic ARCH Model with Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 535-551, July.
    2. Alexandra Chronopoulou & Frederi Viens, 2012. "Estimation and pricing under long-memory stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 379-403, May.

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