Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise-Reference-Cited by-同舟云学术

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Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise

Published:2023-04-24 Issue: Volume: Page:73-95
ISSN:0731-9053
Container-title:Advances in Econometrics
language:
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Author:

Wang Xiaohu,Xiao Weilin,Yu Jun

Publisher

Emerald Publishing Limited

Reference15 articles.

1. Asymptotic inference for nearly nonstationary AR(1) processes;Annals of Statistics,1987

2. Fractional Ornstein–Uhlenbeck processes;Electronical Journal Probability,2003

3. The invariance principle for stationary processes;Theory of Probability and its Applications,1970

4. Volatility is rough;Quantitative Finance,2018

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Latent local-to-unity models;Econometric Reviews;2023-06-29

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