The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a...

[EN] Aitkin and Clayton (1980) proposed to analyze duration models using generalized linear models. In this work we extend that methodology allowing for some nonspecified covariable effect. The model we propose is a semiparametric generalized linear model, with a parametric component to specify...

This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local Whittle estimator of the memory parameter in a long memory signal plus...