Estimation of long memory in integrated variance
Year of publication: |
2012-11
|
---|---|
Authors: | Rossi, Eduardo ; Santucci de Magistris, Paolo |
Institutions: | Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia |
Subject: | Realized variance | Long memory stochastic volatility | Measurement error | local Whittle estimator |
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