Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

Journal of Econometrics

Volumn 98, Issue 1, 2000, Pages 81-106

  Bollerslev, Tim ^a,b   Wright, Jonathan H ^c  

^a DUKE UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c Federal Reserve Board Division of International Finance   (United States)

Author keywords

Exchange rates; High frequency data; Log periodogram regressions; Long memory; Stochastic volatility; Temporal aggregation

Indexed keywords

EID: 0038354652     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00079-2     Document Type: Article

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