Testing procedures for assessing whether two stationary and independent linear processes with unequal lengths have the same spectral densities or same auto‐covariance functions are investigated. New test statistics are proposed based on the difference of the two wavelet‐based estimates of...

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...