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You searched for "stochastic volatility"

Econometrics Paper
Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22


Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Econometrics Paper
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory Afonso Gonçalves da Silva and Peter M Robinson April 2006
Paper No' EM/2006/501:
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JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

Econometrics Paper
Modelling Memory of Economic and Financial Time Series Peter M Robinson
March 2005
Paper No' EM/2005/487:
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JEL Classification: C22


Tags: long memory; short memory; stochastic volatility

Econometrics Paper
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices Paolo Zaffaroni
May 1997
Paper No' EM/1997/329:
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Tags: stochastic volatility; long memory; asymptotics.

Econometrics Paper
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/320:
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Tags: long memory; two-shock model; stochastic volatility

Econometrics Paper
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) Andrew C Harvey and Mariane Streibel March 1996
Paper No' EM/1996/306:
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Tags: exchange rates; garch model; locally best invariant test; serial correlation; stochastic volatility; unobserved components; von mises distribution.