Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

Liudas Giraitis (), Piotr Kokoszka (), Remigijus Leipus () and Gilles Teyssière ()

Statistical Inference for Stochastic Processes, 2000, vol. 3, issue 1, 113-128

Keywords: long memory; ARCH models; semiparametric estimation; modified R / S; KPSS and V / S statistics; periodogram (search for similar items in EconPapers)
Date: 2000
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Working Paper: Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity (1999)
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DOI: 10.1023/A:1009951213271

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