A new estimator for LARCH processes

DOI10.1111/JTSA.12689arXiv2110.12721OpenAlexW4360803337MaRDI QIDQ6148345

Jean-Marc Bardet

Publication date: 11 January 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.12721

zbMATH Keywords

semiparametric estimationlong memory processLARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

Cites Work

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