The properties and mechanism of long-term memory in nonparametric volatility

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 16, 2010, Pages 3254-3259

  Li, Handong ^a   Cao, Shi Nan ^a   Wang, Yan ^a  

^a BEIJING NORMAL UNIVERSITY   (China)

Author keywords

Long term memory; Nonparametric volatility; Realized Bipower Variation; Realized Range based Variation; Realized variance

Indexed keywords

MICROSTRUCTURE;

BIPOWER VARIATIONS; LONG TERM MEMORY; NON-PARAMETRIC; RANGE-BASED; REALIZED VARIANCE;

FREQUENCY ESTIMATION;

EID: 77953129098     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.03.034     Document Type: Article

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