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Disambiguation of "Robinson, P. M."

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The memory of stochastic volatility models

. Journal of Econometrics, 101 (2): 195--218 (April 2001)

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Patrick M P Prokopczuk

Constantin P M Kahn

Constantin P M Kahn

Berry P M Dongelmans

Andreas P M Weber

 

Other publications of authors with the same name

Testing of unit root and other nonstationary hypotheses in macroeconomic time series, and . Journal of Econometrics, 80 (2): 241--268 (October 1997)Averaged periodogram estimation of long memory, and . Journal of Econometrics, 73 (1): 303--324 (July 1996)Cointegration in fractional systems with deterministic trends, and . Journal of Econometrics, 129 (1-2): 263--298 (00 2005)The memory of stochastic volatility models. Journal of Econometrics, 101 (2): 195--218 (April 2001)Alternative models for stationary stochastic processes. Stochastic Processes and their Applications, 8 (2): 141--152 (December 1978)The estimation of a nonlinear moving average model. Stochastic Processes and their Applications, 5 (1): 81--90 (February 1977)Nearest-neighbour estimation of semiparametric regression models. Journal of Nonparametric Statistics, 5 (1): 33--41 (1995)Diagnostic testing for cointegration. Journal of Econometrics, 143 (1): 206--225 (March 2008)The distance between rival nonstationary fractional processes. Journal of Econometrics, 128 (2): 283--300 (October 2005)Semiparametric estimation from time series with long-range dependence, and . Journal of Econometrics, 64 (1-2): 335--353 (00 1994)