Parametric estimation of long memory in factor models

DOI10.1016/j.jeconom.2022.11.005OpenAlexW4313639123MaRDI QIDQ6108311

Yunus Emre Ergemen

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.11.005

zbMATH Keywords

long memoryfactor modelsrealized volatilityprincipal components analysisconditional sum of squares

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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