The Long Memory Property Detection on Stock Market Volatility by Semiparametric Methods with LMSV Model
Wei Zhao · 2011
Under the background of financial time series with obviously long memory property,estimation the long memory parameter of LMSV model is studied.Firstly,the properties of LMSV model are analyzed.Then the semiparametric methods of estimating long memory parametric in LMSV model are proposed based on the suitable corresponding relationships.Finally,the efficiency of the semiparametric methods is testified by stock market data.