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Indirect Estimation of Long Memory Volatility Models

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  • Nigel Wilkins
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    Abstract

    An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are compared to the small sample properties of conventional maximum likelihood estimators. It is found that the indirect estimator has the potential to perform favourably with respect to maximum likelihood for higher order parameterised FIGARCH and LMSV models

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    File URL: http://repec.org/esFEAM04/up.3491.1075516087.pdf
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    Bibliographic Info

    Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 459.

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    Date of creation: 11 Aug 2004
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    Handle: RePEc:ecm:feam04:459

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    Keywords: Fractional Integration; Persistence; Simulation;

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    7. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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    16. 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.
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