Economics Commons^™

Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and introduce a memory signature plot for a model-free initial assessment. A simulated maximum likelihood (SML) method, which maximizes the time-domain log-likelihoods obtained by the importance sampling technique, is employed to estimate the model parameters. Simulation studies suggest that the SML method can accurately estimate both models. …

Three Essays On Nonstationary Time Series Econometrics, Yiu Lim Lui

Dissertations and Theses Collection (Open Access)

This dissertation comprises three papers that separately study different nonstationary time series models.

The first paper, titled as "The Grid Bootstrap for Continuous Time Models", is a joint work with Professor Jun Yu and Professor Weilin Xiao. It considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous-time models driven by a Lévy process. Its asymptotic validity is discussed under the assumption that the sampling interval (h) shrinks to zero, the time span (N) goes to infinity or both. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic …