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Conditions for the propagation of memory parameter from durations to counts and realized volatilty
Deo, Rohit S.; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10003864181
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Limit laws in transaction-level asset price models
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford M.; … - In: Econometric theory 30 (2014) 3, pp. 536-579
Persistent link: https://www.econbiz.de/10010500888
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Testing for long memory in volatility
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10001716895
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On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models
Deo, Rohit S.; Hurvich, Clifford M. - In: Econometric theory 17 (2001) 4, pp. 686-710
Persistent link: https://www.econbiz.de/10001606768
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CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10008257713
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TESTING FOR LONG MEMORY IN VOLATILITY
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10006972306
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ARTICLES - On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
Deo, Robit S.; Hurvich, Clifford M. - In: Econometric theory 17 (2001) 4, pp. 686-710
Persistent link: https://www.econbiz.de/10006978090