Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

DOI10.1016/S0304-4076(03)00158-1zbMath1337.62241MaRDI QIDQ269236

Josu Arteche

Publication date: 18 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

frequency domain; stochastic volatility; semiparametric estimation; long memory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

91B70: Stochastic models in economics

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