Estimating Long Memory in Volatility
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Publication:5393932
DOI10.1111/j.1468-0262.2005.00616.xzbMath1151.91702MaRDI QIDQ5393932
Philippe Soulier, Eric Moulines, Clifford M. Hurvich
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://archive.nyu.edu/handle/2451/26340
62F12: Asymptotic properties of parametric estimators
62G05: Nonparametric estimation
91B82: Statistical methods; economic indices and measures
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