## ABSTRACT This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, propos
Estimating the instantaneous volatility and covariance of risky assets
β Scribed by Chesney, Marc ;Elliott, Robert J.
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 293 KB
- Volume
- 11
- Category
- Article
- ISSN
- 8755-0024
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