Statistical inference using higher-order information
This paper presents a class of minimum contrast estimators for stochastic processes with possible long-range dependence based on the information on higher-order spectral densities. The results on consistency and asymptotic normality of the proposed estimators are provided.
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Volume (Year): 98 (2007)
Issue (Month): 4 (April)
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References listed on IDEAS
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- Ole E. Barndorff-Nielsen & Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
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