Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. (Q5933672)
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scientific article; zbMATH DE number 1599672
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| English | Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. |
scientific article; zbMATH DE number 1599672 |
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Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. (English)
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2000
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long memory
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ARCH models
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semiparametric estimation
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modified \(R/S\)
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KPSS and \(V/S\) statistics
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periodogram
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0.8885923624038696
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0.8318728804588318
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0.8287311792373657
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