Econometric estimation in long-range dependent volatility models: theory and practice
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Publication:299258
DOI10.1016/j.jeconom.2008.09.035zbMath1429.62463OpenAlexW2014515514MaRDI QIDQ299258
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.035
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
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