Hurvich, Clifford; Moulines, Eric; Soulier, Philippe - EconWPA - 2004
We consider semiparametric estimation of the memory parameter in a model which includes as special cases both the long-memory stochastic volatility (LMSV) and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be...