Pooled Log Periodogram Regression
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Publication:4544839
DOI10.1111/1467-9892.00575zbMath0991.62070MaRDI QIDQ4544839
Peter C. B. Phillips, Katsumi Shimotsu
Publication date: 5 August 2002
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1267.pdf
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
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Cites Work