We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the estimator based on a log periodogramregression as originally proposed by Geweke and Porter-Hudak (1983,Journal of Time Series Analysis 4, 221 238). Expressions for the...

We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the estimator based on a log periodogramregression as originally proposed by Geweke and Porter-Hudak (1983,Journal of Time Series Analysis 4, 221Atilde; Acirc;cent;Atilde; Acirc; Atilde;...

We consider semiparametric estimation of the memory parameter in a modelwhich includes as special cases both the long-memory stochasticvolatility (LMSV) and fractionally integrated exponential GARCH(FIEGARCH) models. Under our general model the logarithms of the squaredreturns can be decomposed...

We discuss some of the issues pertaining to modelling and estimating long memory in volatility. Themain focus is on semi parametric estimation of the memory parameter in the long memory stochasticvolatility model. We present the asymptotic properties of the log periodogram regression estimator...

We consider a recently proposed method of estimating the tail index and testing thegoodness-of-fit of dependent stable processes. Through Monte Carlo simulations, weevaluate the ability of the procedure to distinguish between stable and non-stable processesin the presence of non-linear...