Refined Inference on Long Memory in Realized Volatility
نویسندگان
چکیده
منابع مشابه
Refined Inference on Long Memory in Realized Volatility
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et. al. (2001), Martens et. al. (2004)). The present paper provides some analytical explanations for this evidence and shows how recent results in Lieberman and Phillips (2004a, 2004b) can be used to refine statistical infer...
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There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberm...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2008
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930701873374