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Singular Spectrum Analysis for signal extraction in Stochastic Volatility models · Study

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ArticleSingular Spectrum Analysis for signal extraction in Stochastic Volatility models

Josu Arteche2016

Article2016

Singular Spectrum Analysis for signal extraction in Stochastic Volatility models

Josu Arteche · Javier García Enríquez

22 citations·0/0 files stored·Econometrics and Statistics

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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

1995Gaussian Semiparametric Estimation of Long Range Dependence 1994Multivariate Stochastic Variance Models 1996Modeling and pricing long memory in stock market volatility 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 1998The detection and estimation of long memory in stochastic volatility 2006Maximum likelihood estimation of stochastic volatility models 1998Real and Spurious Long-Memory Properties of Stock-Market Data 1998Real and Spurious Long-Memory Properties of Stock-Market Data

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Year2016

Typearticle

Published2016-11-16

VenueEconometrics and Statistics

ISSN-L2452-3062

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ecosta.2016.09.004

openalex_workW2552968203

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