Refined Inference on Long Memory in Realized Volatility
Year of publication: |
2006-01
|
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Authors: | Lieberman, Offer ; Phillips, Peter C. B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | ARFIMA | Edgeworth expansion | Fourier integral expansion | Fractional differencing | Improved inference | Long memory | Pivotal statistic | Realized volatility | Singularity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1248. Published in Econometric Reviews (2008), 27(1-3): 254-267 The price is None Number 1549 15 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models |
Source: |
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Lieberman, Offer, (2001)
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Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
Lieberman, Offer, (2004)
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Seasonally and Fractionally Differenced Time Series
Katayama, Naoya, (2007)
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Lieberman, Offer, (2002)
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Asymptotic Theory for Multivariate GARCH Processes
Comte, F., (2001)
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Gilboa, Itzhak, (2004)
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