Finite sample properties of a QML estimator of stochastic volatility models with long memory

被引：16

作者：

Pérez, A

Ruiz, E ^{[1
]}

机构：

[1] Univ Carlos III Madrid, Dept Stat & Econ, Madrid, Spain

[2] Univ Valladolid, Dept Appl Econ Stat & Econometr, Valladolid, Spain

来源：

ECONOMICS LETTERS | 2001年 / 70卷 / 02期

关键词：

fractional integration; stochastic volatility; quasi-maximum likelihood estimator;

D O I：

10.1016/S0165-1765(00)00373-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyse the finite sample properties of a QML estimator of LMSV models. We show up its poor performance for realistic parameter values. We discuss an identification problem when the volatility has a unit root. An empirical analysis illustrates our findings. (C) 2001 Elsevier Science BN. All rights reserved.

引用

页码：157 / 164

页数：8

共 6 条

[1] The detection and estimation of long memory in stochastic volatility [J].