Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
Article first published online: 26 FEB 2013
© 2013 Wiley Publishing Ltd
Journal of Time Series Analysis
Volume 34, Issue 3, pages 285–301, May 2013
How to Cite
McCloskey, A. (2013), Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends. Journal of Time Series Analysis, 34: 285–301. doi: 10.1111/jtsa.12012
- Issue published online: 25 APR 2013
- Article first published online: 26 FEB 2013
- First version received January 2011
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