Since 2014
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models |
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| Creator |
Ferraz, Rosemeire O.
Hotta, Luiz K. |
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| Description |
We analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter.
We analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2007-11-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526
10.12660/bre.v27n22007.1526 |
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| Source |
Brazilian Review of Econometrics; Vol. 27 No. 2 (2007); 223-232
Brazilian Review of Econometrics; v. 27 n. 2 (2007); 223-232 1980-2447 |
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| Language |
eng
por |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526/968
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526/969 |
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