This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global … volatility shocks have sizeable effects on food price inflation in all countries and persistent second-round effects on core … volatility) and their effects on core inflation to formulate appropriate policy responses. …

volatility (d = 0.80) is also confirmed. …