Rescaled variance and related tests for long memory in volatility and levels

A-Tier

Journal: Journal of Econometrics

Year: 2003

Volume: 112

Issue: 2

Pages: 265-294

Authors (4)

Giraitis, Liudas (Queen Mary University of Londo...) Kokoszka, Piotr (not in RePEc) Leipus, Remigijus (not in RePEc) Teyssiere, Gilles (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

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