Adelaide Research & Scholarship
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https://hdl.handle.net/2440/52332
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| Type: | Journal article |
| Title: | Econometric estimation in long-range dependent volatility models: Theory and practice |
| Author: | Casas, I. Gao, J. |
| Citation: | Journal of Econometrics, 2008; 147(1):72-83 |
| Publisher: | Elsevier Science Sa |
| Issue Date: | 2008 |
| ISSN: | 0304-4076 |
| Statement of Responsibility: | Isabel Casas and Jiti Gao |
| Keywords: | Continuous-time model Diffusion process Long-range dependence Stochastic volatility |
| DOI: | 10.1016/j.jeconom.2008.09.035 |
| Published version: | http://dx.doi.org/10.1016/j.jeconom.2008.09.035 |
| Appears in Collections: | Aurora harvest 5 Economics publications |
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