TESTING FOR LONG MEMORY IN VOLATILITY

DOI10.1017/S0266466602186014zbMath1033.62102MaRDI QIDQ4807333

Clifford M. Hurvich, Philippe Soulier

Publication date: 18 May 2003

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

zbMATH Keywords

Edgeworth expansionsGeweke-Porter-Hudak estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Asymptotics for duration-driven long range dependent processes ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models ⋮ Estimation of the volatility persistence in a discretely observed diffusion model ⋮ Some long-range dependence processes arising from fluctuations of particle systems

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