dc.contributor.author | Casas, Isabel | de |
dc.contributor.author | Gao, Jiti | de |
dc.date.accessioned | 2010-11-08T02:52:00Z | de |
dc.date.accessioned | 2012-08-30T06:17:18Z | |
dc.date.available | 2012-08-30T06:17:18Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/20103 | |
dc.description.abstract | 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. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | continuous–time model; diffusion process; long–range dependence; stochastic volatility | |
dc.title | Econometric estimation in long–range dependent volatility models: theory and practice | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 147 | de |
dc.publisher.country | NLD | |
dc.source.issue | 1 | de |
dc.subject.classoz | Economics | en |
dc.subject.classoz | Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-201031 | de |
dc.date.modified | 2010-11-08T09:07:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 72-83 | |
internal.identifier.classoz | 10900 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2008.09.035 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |