Semi-parametric smoothing estimators for long-memory processes with added noise

Journal of Statistical Planning and Inference

Volumn 105, Issue 2, 2002, Pages 283-297

  Crato, Nuno ^a   Ray, Bonnie K ^b  

^a ISEG LISBON SCHOOL OF ECONOMICS AND MANAGEMENT   (Portugal)

^b NEW JERSEY INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

ARFIMA; LMSV model; Long memory; R S analysis; Volatility

Indexed keywords

EID: 0036643512     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(01)00275-0     Document Type: Article

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