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Stochastic Volatility Models with Long Memory

  • Clifford M. HurvichEmail author
  • Philippe SoulierEmail author
Chapter

Abstract

In this contribution, we consider models in discrete time that contain a latent process for volatility. The most well-known model of this type is the Long-Memory Stochastic Volatility (LMSV) model. We describe its main properties, discuss parametric and semiparametric estimation for these models, and give some generalizations and applications.

Keywords

Asymptotic Normality Stochastic Volatility Preconditioned Conjugate Gradient Stochastic Volatility Model Absolute Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.New York UniversityNew YorkNY

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