The detection and estimation of long memory in stochastic volatility

Journal of Econometrics

Volumn 83, Issue 1-2, 1998, Pages 325-348

  Breidt, F Jay ^a   Crato, Nuno ^c   De Lima, Pedro ^b  

^a Department of Statistics Center for Statistics and Applications in Forensic Evidence Iowa State University 2438 Osborn Dr Ames   (United States)

^b JOHNS HOPKINS UNIVERSITY   (United States)

^c NONE

Author keywords

EGARCH; Fractional ARMA; Spectral likelihood estimators

Indexed keywords

EID: 0041494517     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00072-9     Document Type: Article

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