TESTING FOR LONG MEMORY IN VOLATILITY (Q4807333)

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scientific article; zbMATH DE number 1911810
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English
TESTING FOR LONG MEMORY IN VOLATILITY
scientific article; zbMATH DE number 1911810

    Statements

    title
    TESTING FOR LONG MEMORY IN VOLATILITY (English)
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    author
    Clifford M. Hurvich
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    Philippe Soulier
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    publication date
    18 May 2003
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    Mathematics Subject Classification ID
    62P05
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    62F12
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    62M15
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    zbMATH DE Number
    1911810
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    zbMATH Keywords
    Geweke-Porter-Hudak estimator
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    Edgeworth expansions
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