Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295): Difference between revisions

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-.1007/s11203-008-9030-7
@@ Property / DOI: 10.1007/s11203-008-9030-7 / rank @@
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+https://doi.org/10.1007/s11203-008-9030-7
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+W2152833967
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@@ Property / cites work @@
+Nonstationarity-extended local Whittle estimation
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+Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
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+Parameter estimation in low order fractionally differenced ARMA processes
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+TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
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+Efficient parameter estimation for self-similar processes
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+Consistent estimation of the memory parameter for nonlinear time series
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+Nonlinear time series. Nonparametric and parametric methods
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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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+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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+A model for long memory conditional heteroscedasticity.
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+ARCH models and financial applications
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+Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
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+Estimating Long Memory in Volatility
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+An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
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+Q4002114
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+ARCH models as diffusion approximations
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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+Gaussian semiparametric estimation of long range dependence
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+Local Whittle estimation in nonstationary and unit root cases.
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+Strong approximation of fractional Brownian motion by moving averages of simple random walks.
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+Asymptotic nonequivalence of GARCH models and diffusions
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@@ Property / DOI @@
+.1007/S11203-008-9030-7
@@ Property / DOI: 10.1007/S11203-008-9030-7 / rank @@
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