Estimating Long Memory in Volatility

DOI10.1111/j.1468-0262.2005.00616.xzbMath1151.91702MaRDI QIDQ5393932

Clifford M. Hurvich, Philippe Soulier, Eric Moulines

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/26340

zbMATH Keywords

semiparametric estimation; local Whittle estimator; FIEGARCH; LMSV

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62G05: Nonparametric estimation

91B82: Statistical methods; economic indices and measures

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