Seasonal Long-memory Stochastic Volatility

被引：0

作者：

Gonzaga, Alex C. ^{[1
]}

机构：

[1] Univ Philippines, Dept Phys Sci & Math, Manila 1000, Philippines

来源：

11TH INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2013, PTS 1 AND 2 (ICNAAM 2013) | 2013年 / 1558卷

关键词：

Stochastic Volatility; Long-memory Process; Seasonality; INFERENCE;

D O I：

10.1063/1.4826027

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we propose an alternative approach to estimation of seasonal long-memory stochastic volatility based on the generalized long-memory stochastic volatility (GLMSV) model. We show that the estimator is consistent. We investigate the small sample performance of the estimator by simulation. An application to actual data is also presented.

引用

页码：2410 / 2413

页数：4

共 50 条

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[J]. Gonzaga, A.C. (acgonzaga@post.upm.edu.ph), 1600, Centre for Environment Social and Economic Research, Post Box No. 113, Roorkee, 247667, India (51):
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