LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
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Publication:4512690
DOI10.1017/S0266466699153027zbMATH Open1054.62584MaRDI QIDQ4512690FDOQ4512690
Authors: Marc Henry, Peter M. Robinson 
Publication date: 1999
Published in: Econometric Theory (Search for Journal in Brave)
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (20)
- Bootstrapping long memory tests: some Monte Carlo results
- The role of long memory in hedging effectiveness
- Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
- A complete asymptotic series for the autocovariance function of a long memory process
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Rescaled variance and related tests for long memory in volatility and levels
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Analysis of the correlation structure of square time series
- Higher-order kernel semiparametric M-estimation of long memory
- Polynomial Trend Regression With Long‐memory Errors
- Fractional differencing in discrete time
- Financial econometrics: Past developments and future challenges
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Semiparametric robust tests on seasonal or cyclical long memory time series
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- Modelling financial time series with SEMIFAR GARCH model
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