Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity
Year of publication: |
1999
|
---|---|
Authors: | Giraitis, Liudas ; Kokoszka, Piotr ; Leipus, Remigijus ; Teyssière, Gilles |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | long memory | ARCH models | semiparametric estimation | modified R/S | KPSS and V/S statistics | periodogram |
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