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Multivariate lagrange multiplier tests for fractional integration
Nielsen, Morten Ørregaard - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 372-398
Persistent link: https://www.econbiz.de/10002989096
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Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per; Nielsen, Morten Ørregaard - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 496-512
Persistent link: https://www.econbiz.de/10003778957