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ArticleLocally stationary long memory estimation

François Roueff2010

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Articlebronze2010

Locally stationary long memory estimation

François Roueff · Rainer von Sachs

134 citations·0/0 files stored·Stochastic Processes and their Applications

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

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References

2003Modeling and Forecasting Realized Volatility 1993A long memory property of stock market returns and a new model 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 1998Wavelet analysis of long-range-dependent traffic 1996Modeling volatility persistence of speculative returns: A new approach 1996Varieties of long memory models 2004Long Range Dependence

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Year2010

Typearticle

Published2010-12-18

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations134

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.spa.2010.12.004

openalex_workW2056724145

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