کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097105 1376571 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Econometric estimation in long-range dependent volatility models: Theory and practice
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Econometric estimation in long-range dependent volatility models: Theory and practice
چکیده انگلیسی
It is commonly accepted that some financial data may exhibit long-range dependence, while other financial data exhibit intermediate-range dependence or short-range dependence. These behaviours may be fitted to a continuous-time fractional stochastic model. The estimation procedure proposed in this paper is based on a continuous-time version of the Gauss-Whittle objective function to find the parameter estimates that minimize the discrepancy between the spectral density and the data periodogram. As a special case, the proposed estimation procedure is applied to a class of fractional stochastic volatility models to estimate the drift, standard deviation and memory parameters of the volatility process under consideration. As an application, the volatility of the Dow Jones, S&P 500, CAC 40, DAX 30, FTSE 100 and NIKKEI 225 is estimated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 147, Issue 1, November 2008, Pages 72-83
نویسندگان
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