Cookies?
Library Header Image
LSE Research Online LSE Library Services

Nonlinear time series with long memory : a model for stochastic volatility

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 School of Economics and Political Science, London, UK.

Full text not available from this repository.
Identification Number: EM/1997/320

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
Subjects: H Social Sciences > HB Economic Theory
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:46
URI: http://eprints.lse.ac.uk/id/eprint/2077

Actions (login required)

View Item View Item