2026-05-05T10:32:18Zhttps://uvadoc.uva.es/oai/request

oai:uvadoc.uva.es:10324/198102021-06-30T07:01:53Zcom_10324_5191com_10324_5186com_10324_29291col_10324_5229

A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models Marmol, Francesc Pérez Espartero, Ana Reboredo Nogueira, Juan Carlos Ediciones Universidad de Valladolid Economía política Economía de empresa We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented. 2016-10-10T12:35:34Z 2016-10-10T12:35:34Z 2008 info:eu-repo/semantics/article Anales de estudios económicos y empresariales, 2008, N.18, pags.69-89 0213-7569 http://uvadoc.uva.es/handle/10324/19810 69 18 89 spa info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by-nc-nd/4.0/ Attribution-NonCommercial-NoDerivatives 4.0 International Anales de estudios económicos y empresariales