Bias-reduced estimation of long memory stochastic volatility

Per Frederiksen, Morten Ørregaard Nielsen

    Publikation: Working paper/Preprint Working paperForskning

    10 Citationer (Scopus)

    Abstract

    We propose to use a variant of the local polynomial Whittle estimator to estimate the memory
    parameter in volatility for long memory stochastic volatility models with potential nonstation-
    arity in the volatility process. We show that the estimator is asymptotically normal and capable
    of obtaining bias reduction as well as a rate of convergence arbitrarily close to the parametric
    rate, n1=2. A Monte Carlo study is conducted to support the theoretical results, and an analysis
    of daily exchange rates demonstrates the empirical usefulness of the estimators.
    OriginalsprogEngelsk
    UdgivelsesstedAarhus
    UdgiverInistitut for Økonomi, Aarhus Universitet
    Antal sider15
    StatusUdgivet - 2008

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