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Singular Spectrum Analysis for signal extraction in Stochastic Volatility models
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References

  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data332 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data327 cited
  • 1994Quasi-maximum likelihood estimation of stochastic volatility models313 cited
  • 1987Modelling financial time series282 cited
  • 2008Forecasting European industrial production with singular spectrum analysis270 cited
  • 2007Forecasting Volatility in the Financial Markets173 cited
  • 2009Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices169 cited
  • 2000Semiparametric Inference in Seasonal and Cyclical Long Memory Processes140 cited
  • 2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

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136 cited
  • 2005Estimating Long Memory in Volatility129 cited
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