Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592): Difference between revisions

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+W1645341287
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+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
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+The detection and estimation of long memory in stochastic volatility
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+Efficient parameter estimation for self-similar processes
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
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+Long memory and regime switching
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+The asymptotic theory of linear time-series models
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+A limit theory for long-range dependence and statistical inference on related models
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+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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+ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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+Estimating Long Memory in Volatility
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+ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
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+Local Whittle estimation of the memory parameter in presence of deterministic components
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+Discrimination between monotonic trends and long-range dependence
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+MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
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+Finite sample properties of a QML estimator of stochastic volatility models with long memory.
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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+Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
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+A Test Against Spurious Long Memory
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+Log-periodogram regression of time series with long range dependence
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+Large-sample inference for nonparametric regression with dependent errors
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+Nonlinear log-periodogram regression for perturbed fractional processes
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+Non-stationary log-periodogram regression
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