Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion

DOI10.1007/s11203-008-9030-7zbMath1205.91175OpenAlexW2152833967MaRDI QIDQ625295

Juan-Miguel Gracia

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9030-7

zbMATH Keywords

fractional Brownian motionARCHmaximum likelihood estimatorlong memorymoving averagetimes serieswhittle estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Self-similar stochastic processes (60G18)

Related Items (3)

A generalized nonlinear model for long memory conditional heteroscedasticity ⋮ QMLE for Quadratic ARCH Model with Long Memory ⋮ Estimation and pricing under long-memory stochastic volatility

Uses Software

• itsmr

Cites Work

• Unnamed Item
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