Infinite-order, long-memory heterogeneous autoregressive models
type: Item
instance of: scholarly article
title: Infinite-order, long-memory heterogeneous autoregressive models
zbMATH Open document ID: 1506.62086
author: Dong Wan Shin
author: Eunju Hwang
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6983983
zbMATH Keywords: HAR-RV model
zbMATH Keywords: least squares estimator
zbMATH Keywords: asymptotic property
zbMATH Keywords: prediction mean-squared error
zbMATH Keywords: realized volatility
MaRDI profile type: Publication
full work available at URL: j.csda.2013.08.009
OpenAlex ID: W1966922585
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DOI: 10.1016/J.CSDA.2013.08.009
description: scientific article; zbMATH DE number 6983983