Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation …

wavelets. In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to simultaneously estaimte …

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

introduced in an intuitive manner, and the existing economics and finance literature that utilises wavelets is explored …

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative … of compactly supported wavelets, series length, and contamination by generating ARFIMA(p,d,q) processes for different …

Continuous-time stochastic volatility models are becoming a more and more popular way to describe moderate and high …-frequency financial data. Recently, Barndorff-Nielsen and Shephard (2001a) proposed a class of models where the volatility behaves …