Distinguishing short and long memory volatility specifications

DOI10.1111/j.1368-423X.2008.00251.xzbMath1153.91556MaRDI QIDQ3548528

Stephen J. Taylor, Mark B. Shackleton, Shiuyan Pong

Publication date: 15 December 2008

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

zbMATH Keywords

power; size; long memory; spectral test; volatility

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

Uses Software

• longmemo

Cites Work

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