We consider the asymptotic behavior of log-periodogram regression estimators ofthe memory parameter in long-memory stochastic volatility models, under the nullhypothesis of short memory in volatility. We show that in this situation, if theperiodogram is computed from the log squared returns,...

Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not formally defined, even asymptotically. Because of that, this paper analyzes the performance of the Likelihood Ratio and the Lagrange Multiplier misspecification tests for...