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Title: Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Fractional Integration, Semiparametric Estimation, Volatility, Asset Returns
Issue Date: 2005
Publisher: Brunel University
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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