Asymptotics for duration-driven long range dependent processes

DOI10.1016/j.jeconom.2006.12.001zbMath1418.62332arXiv0705.2701OpenAlexW2028681422MaRDI QIDQ289190

Meng-Chen Hsieh, Clifford M. Hurvich, Philippe Soulier

Publication date: 27 May 2016

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

Full work available at URL: https://arxiv.org/abs/0705.2701

zbMATH Keywords

discrete Fourier transformheavy tailslong memorysample autocovariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Renewal regime switching and stable limit laws, Covariances Estimation for Long-Memory Processes, Tests of bias in log-periodogram regression

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