SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY
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Publication:3465608
DOI10.1017/S0266466614000735zbMath1441.62592MaRDI QIDQ3465608
Publication date: 22 January 2016
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (1)
Cites Work
- Signal extraction from nonstationary time series
- Semiparametric estimation in perturbed long memory series
- Non-stationary log-periodogram regression
- The detection and estimation of long memory in stochastic volatility
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Gaussian semiparametric estimation of long range dependence
- Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Multivariate Stochastic Variance Models
- Estimating Long Memory in Volatility
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