Estimation of the long‐memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
Work
Year: 2013
Type: article
Abstract: I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short‐memory models, can be used to estimate the long‐memory stochastic vo... more
Source: Journal of Time Series Analysis
Author Adam McCloskey
Institutions John Brown University, Brown University
Cites: 36
Cited by: 15
Related to: 10
FWCI: 2.305
Citation percentile (by year/subfield): 92.45
Subfield: Finance
Domain: Social Sciences
Open Access status: green