Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769)
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scientific article; zbMATH DE number 1525533
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| English | Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
scientific article; zbMATH DE number 1525533 |
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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (English)
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17 August 2001
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log-periodogram regressions
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stochastic volatility
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temporal aggregation
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high-frequency data
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exchange rates
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long memory
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0.8197212815284729
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0.8051413893699646
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0.8044895529747009
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