Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
| Year of publication: |
2000
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|---|---|
| Authors: | Giraitis, Liudas ; Kokoszka, Piotr ; Leipus, Remigijus ; Teyssière, Gilles |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 3.2000, 1, p. 113-128
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| Publisher: |
Springer |
| Subject: | long memory | ARCH models | semiparametric estimation | modified R / S | KPSS and V / S statistics | periodogram |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005616050