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ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model. We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak (1983, Journal of Time Series Analysis 4, 221âÃÂÃÂ238). Expressions fo
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