TESTING FOR LONG MEMORY IN VOLATILITY
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Publication:4807333
DOI10.1017/S0266466602186014zbMath1033.62102MaRDI QIDQ4807333
Philippe Soulier, Clifford M. Hurvich
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
62F12: Asymptotic properties of parametric estimators
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
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