Testing for the presence of noise in long memory processes [in Japanese]
Year of publication: |
2008-01
|
---|---|
Authors: | Yamaguchi, Keiko |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | long-term memory | realized volatility | observation error | semi-parametric | local Whittle model |
-
Measuring comovements by regression quantiles
Cappiello, Lorenzo, (2005)
-
Forecasting increases in the VIX: A time-varying long volatility hedge for equities
Clements, Adam, (2012)
-
The volatility of realized volatility
Corsi, Fulvio, (2005)
- More ...
-
Reexamination of stock price reaction to environmental performance : a GARCH application
Yamaguchi, Keiko, (2008)
-
Estimating a change point in the long memory parameter
Yamaguchi, Keiko, (2010)
-
Estimating energy elasticity with structural changes in Japan
Yamaguchi, Keiko, (2007)
- More ...