A semiparametric two-step estimator in a multivariate long memory model
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References listed on IDEAS
- Eric Ghysels & Andrew Harvey & Éric Renault, 1995.
CIRANO Working Papers
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
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- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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