Estimating Long Memory in Volatility
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Publication:5393932
DOI10.1111/j.1468-0262.2005.00616.xzbMath1151.91702OpenAlexW2051041131MaRDI QIDQ5393932
Clifford M. Hurvich, Philippe Soulier, Eric Moulines
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://archive.nyu.edu/handle/2451/26340
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Statistical methods; economic indices and measures (91B82)
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