On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models

Econometric Theory

Volumn 17, Issue 4, 2001, Pages 686-710

  Deo, Rohit S ^a,b   Hurvich, Clifford M ^a  

^a NEW YORK UNIVERSITY   (United States)

^b KMEC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035627018     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466601174025     Document Type: Article

References (17)

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