Open AccessLog-Periodogram Estimation of Long Memory Volatility Dependencies with Conditionally Heavy Tailed Returns
Author(s) -
Jonathan H. Wright
Publication year - 2000
Publication title -
international finance discussion papers
Language(s) - English
Resource type - Journals
eISSN - 2767-4509
pISSN - 1073-2500
DOI - 10.17016/ifdp.2000.685
Subject(s) - econometrics , estimator , volatility (finance) , forward volatility , stochastic volatility , mathematics , statistics , mean squared error , kurtosis , realized variance