Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
AbstractThis study estimates the order of integration in the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques, namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I ( d ) statistical models, with values of d higher than 0, indicating long-memory behaviour.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
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Other versions of this item:
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques," Economics and Finance Discussion Papers 05-10, Economics and Finance Section, School of Social Sciences, Brunel University.
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