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Keyword: stochastic volatility;

8 results found.

Econometrics Paper

Fractional Cointegration In Stochastic Volatility Models

Afonso Gonçalves da Silva and Peter M Robinson

Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model, where the unobservable common factor and idiosyncratic errors are stationary and serially uncorre...Read more...

May 2007

Econometrics Paper

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Afonso Gonçalves da Silva and Peter M Robinson

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...

April 2006

Econometrics Paper

Modelling Memory of Economic and Financial Time Series

Peter M Robinson

Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from t...Read more...

March 2005

Econometrics Paper

The Memory of Stochastic Volatility Models

Peter M Robinson

A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and no...Read more...

February 2001

Econometrics Paper

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices

Paolo Zaffaroni

Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particul...Read more...

May 1997

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

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak d...Read more...

January 1997

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

A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...

March 1996

Econometrics Paper

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is based on treating the variance as an unobservable variable, the logarithm of which is modelled as a li...Read more...

1992