On the Log Periodogram Regression Estimator of the Memory...

Econometric Theory 2001 / 08 Vol. 17; Iss. 4

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

Rohit S. Deo and Clifford M. Hurvich
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Volume:
17
Language:
english
Journal:
Econometric Theory
DOI:
10.2307/3533177
Date:
August, 2001
File:
PDF, 1.74 MB
english, 2001
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