ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY...

Econometric Theory 2001 / 8 Vol. 17; Iss. 4

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

Deo, Rohit S., Hurvich, Clifford M.
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Volume:
17
Language:
english
Journal:
Econometric Theory
DOI:
10.1017/s0266466601174025
Date:
August, 2001
File:
PDF, 158 KB
english, 2001
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