ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

DOI10.1017/S0266466601174025zbMATH Open1018.62079OpenAlexW3125863044MaRDI QIDQ4807262FDOQ4807262

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601174025

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scientific article; zbMATH DE number 1944316
Estimating Long Memory in Volatility
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Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

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A wavelet Whittle estimator of generalized long-memory stochastic volatility
Estimation of long memory in integrated variance
Consistent estimation of the memory parameter for nonlinear time series
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