Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
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Publication:269236
DOI10.1016/S0304-4076(03)00158-1zbMath1337.62241MaRDI QIDQ269236
Publication date: 18 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Stochastic models in economics (91B70)
Related Items (20)
A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models ⋮ Estimation of Long Memory in Integrated Variance ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ The effect of round-off error on long memory processes ⋮ Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility ⋮ Parameter estimation for long-memory stochastic volatility at discrete observation ⋮ MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS ⋮ Using the bootstrap for finite sample confidence intervals of the log periodogram regression ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ Periodic Long-Memory GARCH Models ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Semiparametric estimation in perturbed long memory series ⋮ Estimation of Hurst exponent revisited ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Testing unit roots and long range dependence of foreign exchange ⋮ Consistent estimation of the memory parameter for nonlinear time series ⋮ A wavelet Whittle estimator of generalized long-memory stochastic volatility
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