• Title of article

    Gaussian inference on certain long-range dependent volatility models

  • Author/Authors

    Zaffaroni، نويسنده , , Paolo and dʹItalia، نويسنده , , Banca، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 2003
  • Pages
    60
  • From page
    199
  • To page
    258
  • Abstract
    For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A Monte Carlo exercise is presented to assess the small sample properties of the Gaussian estimator and the Lagrange multiplier test. An empirical application, using foreign exchange rates and stock indexes returns, suggests the potential of these models to capture the dynamic features of the data.
  • Keywords
    Volatility model , Nonlinear moving average model , Long memory , Whittle estimation , asymptotic distribution theory
  • Journal title
    Journal of Econometrics
  • Serial Year
    2003
  • Journal title
    Journal of Econometrics
  • Record number

    1558395