Long-range Dependence in Daily Stock Volatilities

By B. Ray, Ruey S. Tsay. 2000

152 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/934dbcc37934605ab28f8fad00bbb8267947902a

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Citations in the corpus

Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (2007, background): “Given the evidence on similar long term dependence in both series (Bollerslev and Jubinski, 1999; Lobato and Velasco, 2000; Ray and Tsay, 2000) it seems interesting to explore whether models with this feature are similarly capable of predicting both future volume and volatility.”
Multivariate stochastic volatility (2009, methodology): “Ray and Tsay (2000) extended the one-factor model to a k-factor model, in which long range dependence is accommodated in the factor volatility: exp( ' / 2) , ~ (0, ), (1 ) , t t t t t d t t y h v N P L h εε ε µ η = − = + where tv is an ( km× ) matrix of rank k, with mk < .”
Local Polynomial Whittle Estimation of Perturbed Fractional Processes (2008, unknown): “…and even) orders 2Rw and 2Ry near the zero 2See, e.g., Ding, Granger & Engle (1993), Baillie, Bollerslev & Mikkelsen (1996), Comte & Renault (1998), Ray & Tsay (2000), Andersen, Bollerslev, Diebold & Ebens (2001), Andersen, Bollerslev, Diebold & Labys (2001, 2003), Wright (2002), Hurvich & Ray…”
Estimating Long Memory in Volatility (2005, background): “…46 rue Barrault, 75005 Paris, France zD epartement of Math ematiques, Universit e d'Evry Val d'Essonne, 91025 Evry cedex, France Applications of GPH in the context of volatility have been presented in Andersen and Bollerslev (1997a,b), Ray and Tsay (2000), and Wright (2000), among others.”
Multivariate Stochastic Volatility: A Review (2006, background): “Ray and Tsay (2000) extended the one-factor model to a k-factor model, in which long range dependence is accommodated in the factor volatility:”
Estimation methods for stochastic volatility models: a survey (2004, background): “# Blackwell Publishing Ltd. 2004 MCL procedure is implemented using the library SsfPack 2.3 of Koopman, Shephard and Doornik (1999).7 The program employed for estimation is named sv_mcl_est.ox and can be downloaded from the website of Siem Koopman.8 The KSC procedure to estimate the parameters is im”
Statistical analysis of hydroclimatic time series: Uncertainty and insights (2007, background): “, 2004], economics [Ray and Tsay, 2000], politics [Byers et al.”
Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models (2004, methodology): “…point estimates of d reported by Bollerslev and Jubinski (1999) and Ray and Tsay (2000), our estimate is similar to these earlier estimates of d. Ray and Tsay (2000) produce a slightly larger longmemory parameter estimate of 0.355, while Bollerslev and Jubinski (1999) report Blackwell…”
Long Memory and the Relation between Implied and Realized Volatility (2006, methodology): “= =t μ ξT ξt ¶ =t 3p Ut,T ́ +Cov t μ ξT ξt , p Ut,T ¶ (59)”
Bayesian methods for change‐point detection in long‐range dependent processes (2002, background): “Recent empirical evidence indicates that, although stock return levels have little predictability, variations in stock returns exhibit persistent correlation over time (Lobato and Savin, 1997; Ray and Tsay, 2000).”