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英文文献：Bias-reduced estimation of long memory stochastic volatility-长记忆随机波动率的减偏估计
英文文献作者：Per Frederiksen,Morten ?rregaard Nielsen
英文文献摘要：
We propose to use a variant of the local polynomial Whittle estimator to estimate the memory parameter in volatility for long memory stochastic volatility models with potential nonstation- arity in the volatility process. We show that the estimator is asymptotically normal and capable of obtaining bias reduction as well as a rate of convergence arbitrarily close to the parametric rate, n1=2. A Monte Carlo study is conducted to support the theoretical results, and an analysis of daily exchange rates demonstrates the empirical usefulness of the estimators
摘要针对波动过程中存在潜在非定位性的长记忆随机波动模型，提出用局部多项式削减估计器来估计波动中的记忆参数。我们证明了估计量是渐近正态的，并且能够获得偏差减少，以及任意接近参数率n1=2的收敛速度。通过蒙特卡罗研究证明了理论结果，并通过日汇率分析证明了估计量的经验有用性
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