On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models
Rohit S. Deo and Clifford M. Hurvich
| Year of publication: |
2001
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|---|---|
| Authors: | Deo, Rohit S. ; Hurvich, Clifford M. |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 17.2001, 4, p. 686-710
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| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Econometric theory |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001606768