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The Slow Convergence of Ordinary Least Squares Estimators of α , β and Portfolio Weights under Long‐Memory Stochastic Volatility
Liu, Jun; Deo, Rohit; Hurvich, Clifford - In: Journal of Time Series Analysis 40 (2019) 4, pp. 590-608
Persistent link: https://www.econbiz.de/10012094969
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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit; Hurvich, Clifford; Lu, Yi - In: Journal of Econometrics 131 (2006) 1-2, pp. 29-58
Persistent link: https://www.econbiz.de/10005192371