Inference on the long-memory properties of time series with non-stationary volatility
Matei Demetrescu, Philipp Sibbertsen
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Demetrescu, Matei ; Sibbertsen, Philipp |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 144.2016, p. 80-84
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| Subject: | Time-varying variance | Heteroskedasticity | Persistence | Fractional integration | Modulated process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Einheitswurzeltest | Unit root test | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics |