Bayesian estimation and the application of long memory stochastic volatility models
type: Item
instance of: scholarly article
title: Bayesian estimation and the application of long memory stochastic volatility models
zbMATH Open document ID: 1248.62162
author: Lixia Xu
author: Cihua Liu
author: Gaoqin Nie
published in: Statistical Methodology
publication date: 2012-10-19T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6095771
zbMATH Keywords: ARFIMA
zbMATH Keywords: spectral periodogram
MaRDI profile type: Publication
full work available at URL: j.stamet.2006.01.001
OpenAlex ID: W2080191580
cites work: Time series: theory and methods
cites work: Long memory processes and fractional integration in econometrics
cites work: The detection and estimation of long memory in stochastic volatility
cites work: ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: A limit theory for long-range dependence and statistical inference on related models
DOI: 10.1016/J.STAMET.2006.01.001
description: scientific article; zbMATH DE number 6095771