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
Link To Document