The detection and estimation of long memory in stochastic volatility

DOI10.1016/S0304-4076(97)00072-9zbMath0905.62116WikidataQ57710978 ScholiaQ57710978MaRDI QIDQ1377319

F. Jay Breidt, Nuno Crato, Pedro J. F. de Lima

Publication date: 27 January 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

EGARCHfractional ARMAlong memory stochastic volatilityspectral likelihood estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Uses Software

• longmemo

Cites Work

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