Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns

Econometric Reviews

Volumn 21, Issue 4, 2002, Pages 397-417

  Wright, Jonathan H ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

Fractional integration; Heavy tails; JEL Classification: C22, G10; Semiparametric methods; Stochastic volatility; Stock returns

Indexed keywords

EID: 27844438498     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1081/ETC-120015382     Document Type: Article

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