A semiparametric two-step estimator in a multivariate long memory model-Reference-Cited by-同舟云学术

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A semiparametric two-step estimator in a multivariate long memory model

Published:1999-05 Issue:1 Volume:90 Page:129-153
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Lobato Ignacio N.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference29 articles.

1. Advanced Econometrics;Amemiya,1985

2. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;Journal of Econometrics,1996

3. Modeling and pricing long memory in stock market volatility;Bollerslev;Journal of Econometrics,1996

4. Time series. Data Analysis and Theory;Brillinger,1975

5. Efficient parameter estimation for self-similar processes;Dahlhaus;Annals of Statistics,1989

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