Pages that link to "Item:Q5393932"
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The following pages link to Estimating Long Memory in Volatility (Q5393932):
Displayed 43 items.
- Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration (Q867849) (← links)
- Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
- The effect of round-off error on long memory processes (Q905390) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- Multiple local Whittle estimation in stationary systems (Q955151) (← links)
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression (Q961387) (← links)
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
- Semiparametric estimation in perturbed long memory series (Q1010559) (← links)
- Estimation of Hurst exponent revisited (Q1020115) (← links)
- Seasonal FIEGARCH processes (Q1615155) (← links)
- When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
- A bootstrap approximation for the distribution of the local Whittle estimator (Q1659154) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
- Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145) (← links)
- Spectral estimation for non-linear long range dependent discrete time trawl processes (Q2199705) (← links)
- Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process (Q2375847) (← links)
- Long-run comovements in East Asian stock market volatility (Q2416241) (← links)
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
- Estimators of long-memory: Fourier versus wavelets (Q2628842) (← links)
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
- LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES (Q2886971) (← links)
- Long Memory in Integrated and Realized Variance (Q2930712) (← links)
- The averaged periodogram estimator for a power law in coherency (Q2930895) (← links)
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
- Consistent estimation of the memory parameter for nonlinear time series (Q3440757) (← links)
- SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY (Q3465608) (← links)
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (Q3539876) (← links)
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
- Broadband semi-parametric estimation of long-memory time series by fractional exponential models (Q4979100) (← links)
- ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
- Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models (Q5080154) (← links)
- Estimation of Long Memory in Integrated Variance (Q5080471) (← links)
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend (Q5106867) (← links)
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS (Q5859569) (← links)
- Estimation and forecasting of long memory stochastic volatility models (Q6039116) (← links)
- We modeled long memory with just one lag! (Q6175544) (← links)