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Aggregation and memory of models of changing volatility
Zaffaroni, Paolo - In: Journal of econometrics 136 (2007) 1, pp. 237-249
Persistent link: https://www.econbiz.de/10003401656
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Whittle estimation of EGARCH and other exponential volatility models
Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-200
Persistent link: https://www.econbiz.de/10003877967
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Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 185 (2015) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
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Weak convergence of multivariate fractional processes
Marinucci, Domenico; Robinson, Peter M. - 1998
Persistent link: https://www.econbiz.de/10000991072
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Alternative forms of fractional Brownian motion
Marinucci, Domenico; Robinson, Peter M. - 1998
Persistent link: https://www.econbiz.de/10000991075
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The averaged periodogram for nonstationary vector time series
Robinson, Peter M.; Marinucci, Domenico - 2000
Persistent link: https://www.econbiz.de/10001544328
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The memory of stochastic volatility models
Robinson, Peter M. - In: Journal of econometrics 101 (2001) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10001554894
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The memory of stochastic volatility models
Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001555758
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Gaussian estimation of parametric spectral density with unknown pole
Giraitis, L.; Hidalgo, Javier; Robinson, Peter M. - 2001
Persistent link: https://www.econbiz.de/10001605676
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Edgeworth expansions for spectral density estimates and studentized sample mean
Velasco, Carlos; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 497-539
Persistent link: https://www.econbiz.de/10001589011