Parameter Estimation Robust to Low-Frequency Contamination

DOI10.1080/07350015.2015.1093948MaRDI QIDQ6616635zbMATH OpenFDO

Authors Adam McCloskey, Jonathan B. Hill

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1093948

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Whittle estimation in a heavy-tailed GARCH(1,1) model.

Cited in

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• Nonparametric detection of a time-varying mean

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