Estimation of long memory in integrated variance
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 |
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