Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility

DOI10.1016/j.spa.2020.09.005OpenAlexW3088103024MaRDI QIDQ2145810

Clifford M. Hurvich, Yi-Chen Zhang

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.09.005

zbMATH Keywords

long memorylog Gaussian Cox processslow convergencebivariate pure-jump model

Mathematics Subject Classification ID

Statistics (62-XX)

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