2 research outputs found
Estimation methods for the LRD parameter under a change in the mean
- Author
- A Erramilli
- A McCloskey
- A Montanari
- Aeneas Rooch
- AW Lo
- C Velasco
- C Velasco
- C-C Hsu
- CM Hurvich
- CM Hurvich
- CW Granger
- D Jaruskova
- DB Percival
- F Iacone
- FJ Breidt
- FX Diebold
- H Dehling
- HR Künsch
- I Berkes
- Ieva Zelo
- J Beran
- J Beran
- J Geweke
- JT Barkoulas
- K Shimotsu
- L Giraitis
- L Horváth
- L Wang
- L Wang
- L Wang
- LA Gil-Alana
- M Csörgő
- MS Taqqu
- MS Taqqu
- NJ Cutland
- P Kokoszka
- P Sibbertsen
- P Sibbertsen
- P Whittle
- PC Phillips
- Roland Fried
- RS Deo
- RT Baillie
- T Karagiannis
- U Hassler
- V Reisen
- W Krämer
- W Willinger
- X Shao
- Y-W Cheung
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
The memory of volatility
- Author
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andrews DWK Sun Y
- Arteche J
- Arteche J Orbe J
- Barndorff-Nielsen OE Hansen PR, Lunde A, et al.
- Barndorff-Nielsen OE Shephard N
- Chiriac R Voev V
- Deo RS Hurvich CM
- Deo RS Hurvich CM, Lu Y
- Diebold FX Inoue A
- Frederiksen P Nielsen FS, Nielsen M
- Geweke J Porter-Hudak S
- Gourieroux C Jasiak J
- Granger CWJ Ding Z
- Granger CWJ Hyung N
- Hou J Perron P
- Hurvich CM Moulines E, Soulier P
- Hurvich CM Ray BK
- Iacone F
- Leccadito A Rachedi O, Urga G
- Lu YK Perron P
- Martens M Dijk DV, de Pooter M
- McCloskey A Perron P
- Mikosch T Stărică C
- Perron P Qu Z
- Qu Z
- Velasco C
- Xu J Perron P
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2018
- Field of study