On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models

@inproceedings{Deo1999OnTL,
  title={On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models},
  author={Rohit S. Deo and Clifford M. Hurvich},
  year={1999}
}
We consider semi-parametric 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). Expressions for the asymptotic bias and variance of the estimator are obtained and the asymptotic distribution is shown to be the same as that obtained in recent literature for a Gaussian long memory series. The theoretical result does not require omission of a block of… CONTINUE READING
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