Estimating Long Memory in Volatility (Q5393932)

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scientific article; zbMATH DE number 5066863
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English
Estimating Long Memory in Volatility
scientific article; zbMATH DE number 5066863

    Statements

    title
    Estimating Long Memory in Volatility (English)
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    author
    Clifford M. Hurvich
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    Philippe Soulier
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    Eric Moulines
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    published in
    Econometrica
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    publication date
    24 October 2006
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    Mathematics Subject Classification ID
    91B82
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    62G05
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    62F12
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    zbMATH DE Number
    5066863
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    zbMATH Keywords
    LMSV
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    FIEGARCH
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    local Whittle estimator
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    semiparametric estimation
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    OpenAlex ID
    W2051041131
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