Matches in SemOpenAlex for { <https://semopenalex.org/work/W2083294945> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W2083294945 abstract "Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroskedasticity. We show that a leading semiparametric estimate, the Gaussian or local Whittle one, can be consistent and have the same limiting distribution under conditional heteroskedasticity as under the conditional homoskedasticity assumed by Robinson (1995, Annals of Statistics 23, 1630–61). Indeed, noting that long memory has been observed in the squares of financial time series, we allow, under regularity conditions, for conditional heteroskedasticity of the general form introduced by Robinson (1991, Journal of Econometrics 47, 67–84), which may include long memory behavior for the squares, such as the fractional noise and autoregressive fractionally integrated moving average form, and also standard short memory ARCH and GARCH specifications." @default.
- W2083294945 created "2016-06-24" @default.
- W2083294945 creator A5050189962 @default.
- W2083294945 creator A5052543889 @default.
- W2083294945 date "1999-06-01" @default.
- W2083294945 modified "2023-09-26" @default.
- W2083294945 title "LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS" @default.
- W2083294945 cites W1486020309 @default.
- W2083294945 cites W1607973974 @default.
- W2083294945 cites W1973694910 @default.
- W2083294945 cites W1979575715 @default.
- W2083294945 cites W1980541697 @default.
- W2083294945 cites W1986372184 @default.
- W2083294945 cites W1999996900 @default.
- W2083294945 cites W2003094553 @default.
- W2083294945 cites W2005424182 @default.
- W2083294945 cites W2023426016 @default.
- W2083294945 cites W2023575643 @default.
- W2083294945 cites W2026580305 @default.
- W2083294945 cites W2063261731 @default.
- W2083294945 cites W2063827883 @default.
- W2083294945 cites W2065541420 @default.
- W2083294945 cites W2070020253 @default.
- W2083294945 cites W2077115352 @default.
- W2083294945 cites W2079368945 @default.
- W2083294945 cites W2086624954 @default.
- W2083294945 cites W2163938349 @default.
- W2083294945 cites W3123342143 @default.
- W2083294945 cites W3184417104 @default.
- W2083294945 doi "https://doi.org/10.1017/s0266466699153027" @default.
- W2083294945 hasPublicationYear "1999" @default.
- W2083294945 type Work @default.
- W2083294945 sameAs 2083294945 @default.
- W2083294945 citedByCount "143" @default.
- W2083294945 countsByYear W20832949452012 @default.
- W2083294945 countsByYear W20832949452013 @default.
- W2083294945 countsByYear W20832949452014 @default.
- W2083294945 countsByYear W20832949452015 @default.
- W2083294945 countsByYear W20832949452016 @default.
- W2083294945 countsByYear W20832949452017 @default.
- W2083294945 countsByYear W20832949452018 @default.
- W2083294945 countsByYear W20832949452019 @default.
- W2083294945 countsByYear W20832949452020 @default.
- W2083294945 countsByYear W20832949452021 @default.
- W2083294945 countsByYear W20832949452022 @default.
- W2083294945 countsByYear W20832949452023 @default.
- W2083294945 crossrefType "journal-article" @default.
- W2083294945 hasAuthorship W2083294945A5050189962 @default.
- W2083294945 hasAuthorship W2083294945A5052543889 @default.
- W2083294945 hasBestOaLocation W20832949452 @default.
- W2083294945 hasConcept C101104100 @default.
- W2083294945 hasConcept C102366305 @default.
- W2083294945 hasConcept C104409967 @default.
- W2083294945 hasConcept C105795698 @default.
- W2083294945 hasConcept C117251300 @default.
- W2083294945 hasConcept C1297061 @default.
- W2083294945 hasConcept C149782125 @default.
- W2083294945 hasConcept C19539793 @default.
- W2083294945 hasConcept C21430997 @default.
- W2083294945 hasConcept C23922673 @default.
- W2083294945 hasConcept C2986394398 @default.
- W2083294945 hasConcept C33923547 @default.
- W2083294945 hasConcept C91602232 @default.
- W2083294945 hasConceptScore W2083294945C101104100 @default.
- W2083294945 hasConceptScore W2083294945C102366305 @default.
- W2083294945 hasConceptScore W2083294945C104409967 @default.
- W2083294945 hasConceptScore W2083294945C105795698 @default.
- W2083294945 hasConceptScore W2083294945C117251300 @default.
- W2083294945 hasConceptScore W2083294945C1297061 @default.
- W2083294945 hasConceptScore W2083294945C149782125 @default.
- W2083294945 hasConceptScore W2083294945C19539793 @default.
- W2083294945 hasConceptScore W2083294945C21430997 @default.
- W2083294945 hasConceptScore W2083294945C23922673 @default.
- W2083294945 hasConceptScore W2083294945C2986394398 @default.
- W2083294945 hasConceptScore W2083294945C33923547 @default.
- W2083294945 hasConceptScore W2083294945C91602232 @default.
- W2083294945 hasIssue "03" @default.
- W2083294945 hasLocation W20832949451 @default.
- W2083294945 hasLocation W20832949452 @default.
- W2083294945 hasOpenAccess W2083294945 @default.
- W2083294945 hasPrimaryLocation W20832949451 @default.
- W2083294945 hasRelatedWork W1537754427 @default.
- W2083294945 hasRelatedWork W1631400880 @default.
- W2083294945 hasRelatedWork W2055781937 @default.
- W2083294945 hasRelatedWork W2083294945 @default.
- W2083294945 hasRelatedWork W2539023992 @default.
- W2083294945 hasRelatedWork W28238193 @default.
- W2083294945 hasRelatedWork W3086208864 @default.
- W2083294945 hasRelatedWork W3121175177 @default.
- W2083294945 hasRelatedWork W3122695515 @default.
- W2083294945 hasRelatedWork W3145237701 @default.
- W2083294945 hasVolume "15" @default.
- W2083294945 isParatext "false" @default.
- W2083294945 isRetracted "false" @default.
- W2083294945 magId "2083294945" @default.
- W2083294945 workType "article" @default.