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Stochastic Volatility Models with Long Memory

In: Handbook of Financial Time Series

Author

Listed:
  • Clifford M. Hurvich

    (New York University)

  • Philippe Soulier

    (New York University)

Abstract

In this contribution, we consider models in discrete time that contain a latent process for volatility. The most well-known model of this type is the Long-Memory Stochastic Volatility (LMSV) model. We describe its main properties, discuss parametric and semiparametric estimation for these models, and give some generalizations and applications.

Suggested Citation

  • Clifford M. Hurvich & Philippe Soulier, 2009. "Stochastic Volatility Models with Long Memory," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 14, pages 345-354, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_14
    DOI: 10.1007/978-3-540-71297-8_14
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