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math.ST2008★ 7 cited
Multiple local whittle estimation in stationary systems
P. M. Robinson
Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter , at the frequency of principal interest, zero; for short-memory ser…
math.ST2008★ 51 cited
Closed-form likelihood expansions for multivariate diffusions
Yacine Aït-Sahalia
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calc…