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|Title:||Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques|
|Keywords:||Fractional Integration, Semiparametric Estimation, Volatility, Asset Returns|
|Citation:||Econmics and Finance Working papers, Brunel University, 05-10|
|Abstract:||In this article we estimate the order of integration of the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques, namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I(d) statistical models, with values of d higher than 0, indicating long-memory behaviour.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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