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http://bura.brunel.ac.uk/handle/2438/988| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/988 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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