Local polynomial Whittle estimation of perturbed fractional processes
type: Item
instance of: scholarly article
title: Local polynomial Whittle estimation of perturbed fractional processes
zbMATH Open document ID: 1441.62693
author: Per Frederiksen
author: Frank S. Nielsen
author: Morten Ørregaard Nielsen
published in: Journal of Econometrics
publication date: 2016-08-15T00:00:00Z
full work available at URL: http://ageconsearch.umn.edu/record/273704
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 6617073
zbMATH Keywords: bias reduction
zbMATH Keywords: local Whittle
zbMATH Keywords: long memory
zbMATH Keywords: perturbed fractional process
zbMATH Keywords: semiparametric estimation
zbMATH Keywords: stochastic volatility
describes a project that uses: longmemo
describes a project that uses: Ox
MaRDI profile type: Publication
OpenAlex ID: W3023013505
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DOI: 10.1016/J.JECONOM.2011.09.026
description: scientific article; zbMATH DE number 6617073