CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY

DOI10.1017/S0266466608090294zbMath1253.62077arXivmath/0601742OpenAlexW3124487190MaRDI QIDQ3181946

Yi Wang, Philippe Soulier, Clifford M. Hurvich, Rohit S. Deo

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0601742

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• FinTS

Cites Work

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