Robinson, Peter and Zaffaroni, Paolo (1997) Nonlinear time series with long memory : a model for stochastic volatility. Econometrics; EM/1997/320 (EM/1997/320). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Full text not available from this repository.Abstract
We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main statistical properties with respect to the common set of stylized facts characterizing financial assets? returns time series dynamics, and apply it to several series of asset returns.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 1997 the authors |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 11 Dec 2024 18:23 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2077 |
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