Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

By Jie Hou, Pierre Perron. 2014

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7da73dc81173e0c842124813704946e152e6cf06