Parametric estimation of long memory in factor models

Yunus Emre Ergemen

Year of publication:	2023
Authors:	Ergemen, Yunus Emre
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1483-1499
Subject:	Conditional sum of squares \| Factor models \| Long memory \| Principal components analysis \| Realized volatility \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Faktorenanalyse \| Factor analysis \| ARCH-Modell \| ARCH model \| Kapitaleinkommen \| Capital income \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory

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