Gaussian inference on certain long-range dependent volatility models

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Gaussian inference on certain long-range dependent volatility models

Author Info

Paolo Zaffaroni () (Banca d'Italia)

Abstract

For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A Montecarlo exercise is presented to assess the small sample properties of the Gaussian estimator and the Lagrange multiplier test. An empirical application, using foreign exchange rates and stock index returns, suggests the potential of these models to capture the dynamic features of the data.

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Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 472.

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Date of creation: Jun 2003
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Handle: RePEc:bdi:wptemi:td_472_03

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Marchetti, D.J., 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Papers 362, Banca Italia - Servizio di Studi.
Bonaccorsi di Patti, Emilia & Gobbi, Giorgio, 2001. "The changing structure of local credit markets: Are small businesses special?," Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2209-2237, December. [Downloadable!] (restricted)
Piero Cipollone, 2001. "La convergenza dei salari manifatturieri in Europa," Temi di discussione (Economic working papers) 398, Bank of Italy, Economic Research Department. [Downloadable!]

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series /2005/495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

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