Weak identification of long memory with implications for volatility modeling
Jia Li, Peter C.B. Phillips, Shuping Shi, Jun Yu
| Year of publication: |
2025
|
|---|---|
| Authors: | Li, Jia ; Phillips, Peter C. B. ; Shi, Shuping ; Yu, Jun |
| Published in: |
The review of financial studies. - Oxford : Oxford University Press, ISSN 1465-7368, ZDB-ID 1467494-4. - Vol. 38.2025, 10, p. 3117-3148
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| Subject: | long memory | Finanzmarkt | Financial market | Volatilität | Volatility | Modellierung | Scientific modelling | ARMA-Modell | ARMA model | Theorie | Theory | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rfs/hhaf022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015458842