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McCloskey, Adam's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
58 |
Total
Citations
2 |
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1.
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Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
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McCloskey, Adam
Brown University - Department of Economics
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Posted:
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06 Nov 12
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Last Revised:
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26 Apr 13
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23
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McCloskey, Adam
Brown University - Department of Economics
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Stochastic volatility, frequency domain estimation, robust estimation, spurious persistence, long‐memory, level shifts, structural change, deterministic trends
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McCloskey, Adam
Brown University - Department of Economics
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23
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stochastic volatility, frequency domain estimation, robust estimation, spurious persistence, long-memory, level shifts, structural change, deterministic trends
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2.
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McCloskey, Adam
Brown University - Department of Economics Perron, Pierre
Boston University - Department of Economics
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22
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1
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long-memory processes, semiparametric estimators, level shifts, structural
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3.
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McCloskey, Adam
Brown University - Department of Economics
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13
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1
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Hypothesis testing, uniform inference, asymptotic size, exact size, power, size-correction, model selection, boundary problems, local asymptotics
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