A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)

Liudas Giraitis, Peter M Robinson and Donatas Surgailis

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Keywords: Long-range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection. (search for similar items in EconPapers)
Date: 2000-03
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:382

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