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Estimation of the volatility persistence in a discretely observed diffusion model

โœ Scribed by Mathieu Rosenbaum

Book ID
108266849
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
549 KB
Volume
118
Category
Article
ISSN
0304-4149

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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