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Econometric estimation in long-range dependent volatility models: Theory and practice · Study

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ArticleEconometric estimation in long-range dependent volatility models: Theory and practice

Jiti Gao2008

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Articlegreen2008

Econometric estimation in long-range dependent volatility models: Theory and practice

44 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

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1990Forecasting, Structural Time Series Models and the Kalman Filter 1987The Pricing of Options on Assets with Stochastic Volatilities 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.

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2016Inverted-U relationship between R&D intensity and survival: Evidence on scale and complementarity effects in UK data 2013Estimation of Long Memory in Integrated Variance 2012When long memory meets the Kalman filter: A comparative study

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Details

Year2008

Typearticle

Published2008-10-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2008.09.035

openalex_workW2014515514

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