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Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels
Robinson, Peter M.; Henry, Marc - London School of Economics (LSE) - 1998
Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroscedasticity. We show...
Persistent link: https://www.econbiz.de/10010745869
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Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)
Henry, Marc; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 1998
Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroscedasticity. We show...
Persistent link: https://www.econbiz.de/10005670795