On the estimation of short memory components in long memory time series models
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Publication:2691673
DOI10.1515/snde-2015-0120OpenAlexW2519958550MaRDI QIDQ2691673
Richard T. Baillie, George Kapetanios
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2015-0120
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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