Long memory continuous time models (Q1922361): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4076(95)01735-6
+Normal rank
@@ Property / OpenAlex ID @@
+W2128913931
@@ Property / OpenAlex ID: W2128913931 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Discrimination between monotonic trends and long-range dependence
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank