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Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

✍ Scribed by Andrew C. Harvey and Neil Shephard

Book ID
124697500
Publisher
American Statistical Association
Year
1996
Tongue
English
Weight
305 KB
Volume
14
Category
Article
ISSN
0735-0015

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## 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