Estimation of long memory in integrated variance
Eduardo Rossi and Paolo Santucci de Magistris
| Year of publication: |
2014
|
|---|---|
| Authors: | Rossi, Eduardo ; Santucci de Magistris, Paolo |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 33.2014, 7, p. 785-814
|
| Subject: | Local Whittle estimator | Long memory stochastic volatility | Measurement error | Realized variance | Schätztheorie | Estimation theory | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Statistischer Fehler | Statistical error | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363876