Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article … estimating stochastic volatility model parameters through Bayesian methods. We simulate a massive number of parallel chains to …

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article … estimating stochastic volatility model parameters through Bayesian methods. We simulate a massive number of parallel chains to …