Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques
AbstractIn this article we estimate the order of integration of 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 InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-10.
Length: 9 pages
Date of creation: Jun 2005
Date of revision:
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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 9-12, January.
- NEP-ALL-2005-11-05 (All new papers)
- NEP-CFN-2005-11-05 (Corporate Finance)
- NEP-ETS-2005-11-05 (Econometric Time Series)
- NEP-FMK-2005-11-05 (Financial Markets)
- NEP-SEA-2005-11-05 (South East Asia)
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