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http://bura.brunel.ac.uk/handle/2438/988Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.coverage.spatial | 9 | en |
| dc.date.accessioned | 2007-07-06T11:11:07Z | - |
| dc.date.available | 2007-07-06T11:11:07Z | - |
| dc.date.issued | 2005 | - |
| dc.identifier.citation | Econmics and Finance Working papers, Brunel University, 05-10 | en |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/988 | - |
| dc.description.abstract | In this article we estimate the order of integration of the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques, namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I(d) statistical models, with values of d higher than 0, indicating long-memory behaviour. | en |
| dc.format.extent | 90136 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | Brunel University | en |
| dc.subject | Fractional Integration, Semiparametric Estimation, Volatility, Asset Returns | en |
| dc.title | Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques | en |
| dc.type | Research Paper | en |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers | |
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