alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE … volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator …-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument …

parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of …-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …

parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of …

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 …

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

volatility density estimator in discrete-time stochastic volatility models. …