Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Authors:
- Tim BollerslevTBTim Bollerslev
- Jonathan H. WrightJWJonathan H. Wright
- 1 September 2000
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 98 (1) , 81-106
Abstract
No abstract availableThis publication has 43 references indexed in Scilit:
- Long-term equity anticipation securities and stock market volatility dynamicsJournal of Econometrics, 1999
- Bootstrapping Multivariate SpectraReview of Economics and Statistics, 1998
- Long Memory and Aggregation in Macroeconomic Time SeriesInternational Economic Review, 1998
- The detection and estimation of long memory in stochastic volatilityJournal of Econometrics, 1998
- Modeling volatility persistence of speculative returns: A new approachJournal of Econometrics, 1996
- Long memory processes and fractional integration in econometricsJournal of Econometrics, 1996
- Rates of convergence and optimal spectral bandwidth for long range dependenceProbability Theory and Related Fields, 1994
- A geographical model for the daily and weekly seasonal volatility in the foreign exchange marketJournal of International Money and Finance, 1993
- Temporal Aggregation of Garch ProcessesEconometrica, 1993
- When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale ModelsReview of Economics and Statistics, 1971