Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity
Year of publication: |
1999
|
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Authors: | Giraitis, Liudas ; Kokoszka, Piotr ; Leipus, Remigijus ; Teyssière, Gilles |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | long memory | ARCH models | semiparametric estimation | modified R/S | KPSS and V/S statistics | periodogram |
Series: | SFB 373 Discussion Paper ; 1999,81 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722410425 [GVK] hdl:10419/61738 [Handle] RePEc:zbw:sfb373:199981 [RePEc] |
Source: |
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