Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
| Year of publication: |
2009
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|---|---|
| Authors: | Levine, Michael ; Torres, Soledad ; Viens, Frederi |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 12.2009, 3, p. 221-250
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| Publisher: |
Springer |
| Subject: | ARCH | Times series | Fractional Brownian motion | Maximum likelihood estimator | Long memory | Whittle estimator | Moving average | Primary 62M09 | Secondary 60G18 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008491581