Refined Inference on Long Memory in Realized Volatility

• Main Authors: PHILLIPS, Peter C. B., LIEBERMAN, Offer
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: Edgeworth expansion; Long memory; Realized volatility; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/363; https://ink.library.smu.edu.sg/context/soe_research/article/1362/viewcontent/Refined_Inference_on_Long_Memory_in_Realized_Volatility.pdf
• 機構: Singapore Management University

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the...