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~institution:"Institute of Economic Research, Hitotsubashi University"
~institution:"Institute of Economic Research, Kyoto University"
~person:"Yamaguchi, Keiko"
~subject:"realized volatility"
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realized volatility
local Whittle model
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long-term memory
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Yamaguchi, Keiko
Asai, Manabu
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Institute of Economic Research, Hitotsubashi University
Institute of Economic Research, Kyoto University
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Testing for the presence of noise in long memory processes [in Japanese]
Yamaguchi, Keiko
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Institute of Economic Research, Hitotsubashi University
-
2008
properties of these two tests. It is well-known that the realized
volatility
(RV) follows a long memory process, so we apply these …
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