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Theory and Methods - Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
Hurvich, Clifford; Lang, Gabriel; Soulier, Philippe - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 853-871
Persistent link: https://www.econbiz.de/10006606303
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Estimating Long Memory in Volatility
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 4, pp. 1283-1328
Persistent link: https://www.econbiz.de/10006752161
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Asymptotics for duration-driven long range dependent processes
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe - In: Journal of econometrics 141 (2007) 2, pp. 913-949
Persistent link: https://www.econbiz.de/10007859766
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CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10008257713
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Corrigendum to "Estimating Long Memory in Volatility"
Hurvich, Cliffordm; Moulines, Eric; Soulier, Philippe - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 3, pp. 661-662
Persistent link: https://www.econbiz.de/10007993728
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TESTING FOR LONG MEMORY IN VOLATILITY
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10006972306