Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

dc.creatorFerraz, Rosemeire O.
dc.creatorHotta, Luiz K.
dc.date2007-11-01
dc.date.accessioned2022-11-03T21:17:51Z
dc.date.available2022-11-03T21:17:51Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5047702
dc.descriptionWe analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter.en-US
dc.descriptionWe analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter.pt-BR
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageeng
dc.languagepor
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526/968
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1526/969
dc.sourceBrazilian Review of Econometrics; Vol. 27 No. 2 (2007); 223-232en-US
dc.sourceBrazilian Review of Econometrics; v. 27 n. 2 (2007); 223-232pt-BR
dc.source1980-2447
dc.titleQuasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Modelsen-US
dc.titleQuasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Modelspt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución