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Gaussian inference on certain long-range dependent volatility models · Study

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ArticleGaussian inference on certain long-range dependent volatility models

Paolo Zaffaroni2003

Article2003

Gaussian inference on certain long-range dependent volatility models

Paolo Zaffaroni · Banca d’Italia

50 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1965The Behavior of Stock-Market Prices 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1992ARCH modeling in finance 1980

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Year2003

Typearticle

Published2003-04-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations50

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(03)00096-4

openalex_workW1995799665

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AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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