1 Gaussian Semiparametric Estimation of Long Range Dependence

P. M. Robinson
The Annals of Statistics
Vol. 23, No. 5 (Oct., 1995), pp. 1630-1661
(article consists of 32 pages)
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2242539

2Augmented GARCH (p,q) process and its diffusion limit

Jin-Chuan Duan
Journal of Econometrics
Volume 79, Issue 1, July 1997, Pages 97-127
http://www.sciencedirect.com/science/article/pii/S0304407697000092