scholarly journals Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

2003 ◽  
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pp. 420-444 ◽  
Author(s):  
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Keyword(s):  
Stochastic Volatility ◽  
Long Memory ◽  
Stochastic Volatility Models ◽  
Nonlinear Transformations ◽  
Volatility Models

scholarly journals The tail empirical process for long memory stochastic volatility models with leverage

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Vol 13 (2) ◽  
pp. 3453-3484
Author(s):  
Clémonell Bilayi-Biakana ◽  
Gail Ivanoff ◽  
Rafał Kulik
Keyword(s):  
Stochastic Volatility ◽  
Long Memory ◽  
Empirical Process ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Tail Empirical Process

scholarly journals Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

2017 ◽  
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Author(s):  
Shelton Peiris ◽  
Manabu Asai ◽  
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Keyword(s):  
Stochastic Volatility ◽  
Long Memory ◽  
Stochastic Volatility Models ◽  
Volatility Models

Bayesian estimation and the application of long memory stochastic volatility models

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Vol 3 (4) ◽  
pp. 483-489 ◽  
Author(s):  
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Cihua Liu ◽  
Gaoqin Nie
Keyword(s):  
Bayesian Estimation ◽  
Stochastic Volatility ◽  
Long Memory ◽  
Stochastic Volatility Models ◽  
Volatility Models

scholarly journals Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

2017 ◽  
Author(s):  
Manabu Asai ◽  
Michael McAleer ◽  
Shelton Peiris
Keyword(s):  
Stochastic Volatility ◽  
Long Memory ◽  
Stochastic Volatility Models ◽  
Volatility Models
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