Stochastic Volatility Models with Long Memory

Clifford Hurvich and Philippe Soulier ()
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Philippe Soulier: New York University
Authors registered in the RePEc Author Service: Siddhartha Chib

Chapter 14 in Handbook of Financial Time Series, 2009, pp 345-354 from Springer

Abstract: Abstract In this contribution, we consider models in discrete time that contain a latent process for volatility. The most well-known model of this type is the Long-Memory Stochastic Volatility (LMSV) model. We describe its main properties, discuss parametric and semiparametric estimation for these models, and give some generalizations and applications.

Keywords: Asymptotic Normality; Stochastic Volatility; Preconditioned Conjugate Gradient; Stochastic Volatility Model; Absolute Return (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_14

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DOI: 10.1007/978-3-540-71297-8_14

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