Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.

DOI10.1023/A:1009951213271zbMath1054.62104OpenAlexW2119044161MaRDI QIDQ5933672

Gilles Teyssière, Piotr S. Kokoszka, Liudas Giraitis, Remigijus Leipus

Publication date: 2000

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009951213271

zbMATH Keywords

ARCH modelssemiparametric estimationlong memoryKPSS and \(V/S\) statisticsmodified \(R/S\)periodogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (4)

Testing for bubbles and change-points ⋮ On discriminating between long-range dependence and changes in mean ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ Rescaled variance and related tests for long memory in volatility and levels

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