ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
| Year of publication: |
2001
|
|---|---|
| Authors: | Deo, Rohit S. ; Hurvich, Clifford M. |
| Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 17.2001, 04, p. 686-710
|
| Publisher: |
Cambridge University Press |
| Description of contents: | Abstract [journals.cambridge.org] |