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- W2245399869 abstract "A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is a long memory process of order d, the integrated variance is characterized by the same long-range dependence. We prove that the spectral density of realized variance is given by the sum of the spectral density of the integrated variance plus that of a measurement error, due to the sparse sampling and market microstructure noise. Hence, the realized volatility has the same degree of long memory as the integrated variance. The additional term in the spectral density induces a finite-sample bias in the semiparametric estimates of the long memory. A Monte Carlo simulation provides evidence that the corrected local Whittle estimator of Hurvich et al. (2005) is much less biased than the standard local Whittle estimator and the empirical application shows that it is robust to the choice of the sampling frequency used to compute the realized variance. Finally, the empirical results suggest that the volatility series are more likely to be generated by a nonstationary fractional process." @default.
- W2245399869 created "2016-06-24" @default.
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- W2245399869 date "2012-11-01" @default.
- W2245399869 modified "2023-09-27" @default.
- W2245399869 title "Estimation of long memory in integrated variance" @default.
- W2245399869 hasPublicationYear "2012" @default.
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