Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2014.05.004
@@ Property / DOI: 10.1016/j.jeconom.2014.05.004 / rank @@
-Normal rank
@@ Property / cites work @@
+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation in perturbed long memory series
+Normal rank
@@ Property / cites work @@
+Q4845377
@@ Property / cites work: Q4845377 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+Local polynomial Whittle estimation of perturbed fractional processes
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Long Memory in Volatility
@@ Property / cites work: Estimating Long Memory in Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Local Whittle estimation of the memory parameter in presence of deterministic components
+Normal rank
@@ Property / cites work @@
+Q3827437
@@ Property / cites work: Q3827437 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
+Normal rank
@@ Property / cites work @@
+MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
+Normal rank
@@ Property / cites work @@
+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
+Normal rank
@@ Property / cites work @@
+A Test Against Spurious Long Memory
@@ Property / cites work: A Test Against Spurious Long Memory / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic volatility model with random level shifts and its applications to S&amp;P 500 and NASDAQ return indices
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2014.05.004
@@ Property / DOI: 10.1016/J.JECONOM.2014.05.004 / rank @@
+Normal rank