Department of Economics and Business Economics

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert.

In: Journal of Econometrics, Vol. 198, No. 1, 2017, p. 165-188.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

APA

CBE

MLA

Vancouver

Author

Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, A.M. Robert. / Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. In: Journal of Econometrics. 2017 ; Vol. 198, No. 1. pp. 165-188.

Bibtex

@article{b2aade3224bd4695bb1712ba1dbdf40e,
title = "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form",
author = "Giuseppe Cavaliere and Nielsen, {Morten {\O}rregaard} and Taylor, {A.M. Robert}",
year = "2017",
doi = "10.1016/j.jeconom.2017.01.008",
language = "English",
volume = "198",
pages = "165--188",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

AU - Cavaliere, Giuseppe

AU - Nielsen, Morten Ørregaard

AU - Taylor, A.M. Robert

PY - 2017

Y1 - 2017

U2 - 10.1016/j.jeconom.2017.01.008

DO - 10.1016/j.jeconom.2017.01.008

M3 - Journal article

VL - 198

SP - 165

EP - 188

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -