Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
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Publication:625295
DOI10.1007/s11203-008-9030-7zbMath1205.91175MaRDI QIDQ625295
Publication date: 15 February 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-008-9030-7
fractional Brownian motion; ARCH; maximum likelihood estimator; long memory; moving average; times series; whittle estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
91B84: Economic time series analysis
60G18: Self-similar stochastic processes
Uses Software