Expansions for approximate maximum likelihood estimators of the fractional difference parameter
Year of publication: |
2005
|
---|---|
Authors: | Lieberman, Offer ; Phillips, Peter C. B. |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 8.2005, 3, p. 367-379
|
Subject: | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Bootstrap-Verfahren | Bootstrap approach | ARMA-Modell | ARMA model | Theorie | Theory |
-
Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
Lieberman, Offer, (2004)
-
Expansions for approximate maximum likelihood estimators of the fractional difference
Lieberman, Offer, (2004)
-
Meitz, Mika, (2012)
- More ...
-
A complete asymptotic series for the autocovariance function of a long memory process
Lieberman, Offer, (2008)
-
A complete asymptotic series for the autocovariance function of a long memory process
Lieberman, Offer, (2006)
-
Refined inference on long memory in realized volatility
Lieberman, Offer, (2006)
- More ...