Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity.
Year of publication: |
1999
|
---|---|
Authors: | Giraitis, L. ; Kokoszka, P. ; Leipus, R. ; Teyssiere, G. |
Institutions: | Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE) |
Subject: | ESTIMATOR | ECONOMETRICS | HETEROSKEDASTICITY |
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