Multivariate long memory SV model and its application to Shanghai and Shenz2 hen stock markets
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    Abstract:

    This paper constructs a multivariate long memory stochastic volatility (MLMSV) model and provides its spectrum likelihood estimation method , as well as the testing procedures for fractional cointegration under MLMSV frame. We also test the model and method with data of Shanghai and Shenzhen stock markets to show its effective2 ness.

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