Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

Adam McCloskey

Journal of Time Series Analysis, 2013, vol. 34, issue 3, 285-301

Date: 2013
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Working Paper: Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends (2012)
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DOI: 10.1111/(ISSN)1467-9892

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