JOURNAL ARTICLE

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

Rosemeire O. FerrazLuiz Koodi Hotta

Year: 2007 Journal:   Brazilian Review of Econometrics Vol: 27 (2)Pages: 223-232

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.

Keywords:
Estimator Stochastic volatility Autoregressive model Econometrics Maximum likelihood State-space representation Volatility (finance) STAR model Estimation Mathematics Statistics Computer science Economics Time series Autoregressive integrated moving average Algorithm

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Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Complex Systems and Time Series Analysis
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics
Market Dynamics and Volatility
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

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