A strategy for optimal bandwidth selection in Local Whittle estimation
Author:
Funder
Ministerio de Economía y Competitividad
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference27 articles.
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2. Signal extraction in long memory stochastic volatility;Arteche;Economet. Theor.,2015
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4. A bootstrap approximation for the distribution of the local whittle estimator;Arteche;Comput. Statist. Data Anal.,2016
5. Bandwidth selection by cross-validation for forecasting long memory financial time series;Baillie;J. Empir. Financ.,2014
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