Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

Rosemeire O. Ferraz and Luiz Hotta

Brazilian Review of Econometrics, 2007, vol. 27, issue 2

Abstract: 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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:27:y:2007:i:2:a:1526

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