{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,31]],"date-time":"2026-08-31T20:37:15Z","timestamp":1788208635672,"version":"build-2803163510"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2001,7,27]],"date-time":"2001-07-27T00:00:00Z","timestamp":996192000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,8]]},"abstract":"<jats:p>We consider semiparametric estimation of the memory parameter \nin a long memory stochastic volatility model. We study \nthe estimator based on a log periodogram regression as \noriginally proposed by Geweke and Porter-Hudak (1983, <jats:italic>Journal \nof Time Series Analysis<\/jats:italic> 4, 221\u2013238). Expressions \nfor the asymptotic bias and variance of the estimator are \nobtained, and the asymptotic distribution is shown to be \nthe same as that obtained in recent literature for a Gaussian \nlong memory series. The theoretical result does not require \nomission of a block of frequencies near the origin. We \nshow that this ability to use the lowest frequencies is \nparticularly desirable in the context of the long memory \nstochastic volatility model.<\/jats:p>","DOI":"10.1017\/s0266466601174025","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:16:52Z","timestamp":1027775812000},"page":"686-710","source":"Crossref","is-referenced-by-count":104,"title":["ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE \nMEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS"],"prefix":"10.1017","volume":"17","author":[{"given":"Rohit S.","family":"Deo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Clifford M.","family":"Hurvich","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2001,7,27]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601174025","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T19:21:11Z","timestamp":1554751271000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601174025\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,7,27]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2001,8]]}},"alternative-id":["S0266466601174025"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601174025","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,7,27]]}}}