Finite sample properties of a QML estimator of stochastic volatility models with long memory

Authors
Perez, A Ruiz, E
Citation
A. Perez et E. Ruiz, Finite sample properties of a QML estimator of stochastic volatility models with long memory, ECON LETT, 70(2), 2001, pp. 157-164
Citations number
6
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
70
Issue
2
Year of publication
2001
Pages
157 - 164
Database
ISI
SICI code
0165-1765(200102)70:2<157:FSPOAQ>2.0.ZU;2-0
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. (C) 2001 Elsevier Science BN. All right s reserved.