Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Year of publication: |
2015
|
---|---|
Authors: | Ye, Xunyu ; Gao, Ping ; Li, Handong |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 46.2015, C, p. 167-179
|
Publisher: |
Elsevier |
Subject: | Long memory models | Seasonality | Tapered periodogram | Monte Carlo study | Intraday volume | High-frequency volatility |
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