The local Whittle estimator of long-memory stochastic volatility

Hurvich, Clifford M., Ray, Bonnie K. . Journal of Financial Econometrics 2003. 1 (3) :445-470

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Bibtex

@article{CIS-185692,
  Author = {Hurvich, Clifford M. and Ray, Bonnie K.},
  Title = {The local Whittle estimator of long-memory stochastic volatility},
  Journal = {Journal of Financial Econometrics},
  Volume = {1},
  Number = {3},
  Year = {2003},
  Pages = {445--470},
  Keywords = {Nonlinearity, Semiparametric estimation, Long-range dependence}
}

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