Gaussian inference on certain long-range dependent volatility models
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References listed on IDEAS
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More about this item
Keywordsvolatility model; nonlinear moving average model; long memory; Whittle estimation; asymptotic distribution theory;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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