Robust Automatic Bandwidth for Long Memory

DOI10.1111/1467-9892.00225zbMath0978.62079MaRDI QIDQ2740037

Marc Henry

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00225

zbMATH Keywords

long memory; optimal bandwidth; conditional heteroscedasticity

Mathematics Subject Classification ID

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

62G35: Nonparametric robustness

65C05: Monte Carlo methods

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