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Finite sample properties of a QML estimator of Stochastic Volatility models with long memory

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URI: https://hdl.handle.net/10016/4791
ISSN: 0165-1765
DOI: 10.1016/S0165-1765(00)00373-6
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finite_ruiz_EL_2001_ps.pdf (339.02 KB)
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2001
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Elsevier
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Abstract
We analyse the finite sample properties of a QML estimator of LMSV models. We show up its poor performance for realistic parameter values. We discuss an identification problem when the volatility has a unit root. An empirical analysis illustrates our findings.
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Fractional integration, Stochastic volatility, Quasi-maximum likelihood estimator
Bibliographic citation
Economics Letters, 2001, vol. 70, n. 2, p. 157-164
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