The detection and estimation of long memory in stochastic volatility

A-Tier

Journal: Journal of Econometrics

Year: 1998

Volume: 83

Issue: 1-2

Pages: 325-348

Authors (3)

Breidt, F. Jay (not in RePEc) Crato, Nuno (Universidade de Lisboa) de Lima, Pedro (not in RePEc)

Score contribution per author:

1.345 = (α=2.02 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count