Bonnie K. Ray

IBM Corporation - Thomas J. Watson Research Center

Route 134

Kitchawan Road

Yorktown Heights, NY 10598

United States

SCHOLARLY PAPERS

1

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83

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CROSSREF CITATIONS

16

Scholarly Papers (1)

The Local Whittle Estimator of Long Memory Stochastic Volatility

NYU Working Paper No. SOR-2001-1
Number of pages: 29 Posted: 03 Nov 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM Corporation - Thomas J. Watson Research Center
Downloads 42 (425,097)

Abstract:

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long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long Memory Stochastic Volatility

NYU Working Paper No. SOR-2003-5
Number of pages: 22 Posted: 03 Nov 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM Corporation - Thomas J. Watson Research Center
Downloads 41 (429,069)
Citation 1

Abstract:

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long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 445-470, 2003
Posted: 29 Feb 2008
Bonnie K. Ray and Clifford M. Hurvich
IBM Corporation - Thomas J. Watson Research Center and Stern School of Business, New York University

Abstract:

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long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 1, pp. 445-470, 2003
Posted: 29 Feb 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM Corporation - Thomas J. Watson Research Center

Abstract:

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long-range dependence, nonlinearity, semiparametric estimation