Refined Inference on Long Memory in Realized Volatility (Q3539875): Difference between revisions

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+Nonstationarity-extended local Whittle estimation
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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Q4865042
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+Q4092387
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+Time series: theory and methods.
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES 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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+EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
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+Expansions for approximate maximum likelihood estimators of the fractional difference parameter
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+Log-periodogram regression of time series with long range dependence
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+Gaussian semiparametric estimation of long range dependence
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+Exact local Whittle estimation of fractional integration
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+A Tale of Two Time Scales
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