Semiparametric estimation in perturbed long memory series

DOI10.1016/j.csda.2006.07.023zbMath1157.62486MaRDI QIDQ1010559

Josu Arteche

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.023

zbMATH Keywords

stochastic volatility; semiparametric estimation; perturbed long memory

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

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