Long memory in time series : semiparametric estimation and conditional heteroscedasticity
This dissertation considers semiparametric spectral estimates of temporal dependence in time series. Semiparametric frequency domain methods rely on a local parametric specification of the spectral density in a neighbourhood of the frequency of interest. Therefore, such methods can be applied to the...
| Main Author: | |
|---|---|
| Published: |
London School of Economics and Political Science (University of London)
1999
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368163 |