Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
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- 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.
References listed on IDEAS
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
- Phillips, P C B, 1987.
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Econometric Society, vol. 55(2), pages 277-301, March.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
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- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- Wright, Jonathan H, 1999. "Testing for a Unit Root in the Volatility of Asset Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 309-318, May-June.
- Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Power, Gabriel J. & Turvey, Calum G., 2010. "Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 79-90.
- Chin Wen Cheong & Abu Hassan Shaari Mohd Nor & Zaidi Isa, 2007. "An empirical study of realized and long-memory GARCH standardized stock-return," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(2), pages 121-127.
- Chin Wen Cheong & Zaidi Isa & Abu Hassan Shaari Mohd Nor, 2007. "Modelling financial observable-volatility using long memory models," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 201-208.
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