Estimation of Long Memory in Integrated Variance
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Publication:5080471
DOI10.1080/07474938.2013.806131zbMath1491.62162OpenAlexW2129255115MaRDI QIDQ5080471
Eduardo Rossi, Paolo Santucci de Magistris
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0017.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)
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