The memory of stochastic volatility models (Q5932777): Difference between revisions

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+On large-sample estimation for the mean of a stationary random sequence
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+Generalized autoregressive conditional heteroscedasticity
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+Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
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+The detection and estimation of long memory in stochastic volatility
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+Tests for Hurst effect
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+Modeling volatility persistence of speculative returns: a new approach
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Varieties of long memory models
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+ON GENERALIZED FRACTIONAL PROCESSES
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+Q5612941
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+Q4074268
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+A central limit theorem for non-instantaneous filters of a stationary Gaussian process
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+Q5597302
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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+Log-periodogram regression of time series with long range dependence
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+Q5688319
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+Nonlinear time series with long memory: A model for stochastic volatility
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+Non-central limit theorems for non-linear functionals of \(k\) Gaussian fields
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+Weak convergence to fractional brownian motion and to the rosenblatt process
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+https://doi.org/10.1016/s0304-4076(00)00079-8
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+W2010030142
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