Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion

Michael Levine (), Soledad Torres () and Frederi Viens ()

Statistical Inference for Stochastic Processes, 2009, vol. 12, issue 3, 250 pages

Keywords: ARCH; Times series; Fractional Brownian motion; Maximum likelihood estimator; Long memory; Whittle estimator; Moving average; Primary 62M09; Secondary 60G18; 62M10; 91B84 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11203-008-9030-7

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