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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2017
conditional and unconditional heteroskedasticity of unknown form. Although the standard
conditional
sum-of-squares
(CSS) estimator …
Persistent link: https://www.econbiz.de/10011756074
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2
Quasi-maximum likelihood estimation of heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for
conditional
sum-of-squares
…
Persistent link: https://www.econbiz.de/10010360982
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