Computationally efficient methods for two multivariate fractionally integrated models (Q3077667): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9892.2009.00631.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1978724408
@@ Property / OpenAlex ID: W1978724408 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+A note on calculating autocovariances of long‐memory processes
+Normal rank
@@ Property / cites work @@
+Circulant preconditioners for Toeplitz-block matrices
+Normal rank
@@ Property / cites work @@
+Calculating and analyzing impulse responses for the vector ARFIMA model.
+Normal rank
@@ Property / cites work @@
+Tests for Hurst effect
@@ Property / cites work: Tests for Hurst effect / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
+Normal rank
@@ Property / cites work @@
+Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
+Normal rank
@@ Property / cites work @@
+Vector linear time series models
@@ Property / cites work: Vector linear time series models / rank @@
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
+Normal rank
@@ Property / cites work @@
+CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
+Normal rank
@@ Property / cites work @@
+Indirect estimation of ARFIMA and VARFIMA models
@@ Property / cites work: Indirect estimation of ARFIMA and VARFIMA models / rank @@
+Normal rank
@@ Property / cites work @@
+A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
+Normal rank
@@ Property / cites work @@
+BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
@@ Property / cites work: BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4682143
@@ Property / cites work: Q4682143 / rank @@
+Normal rank
@@ Property / cites work @@
+Cointegration in Fractional Systems with Unknown Integration Orders
+Normal rank
@@ Property / cites work @@
+Determination of cointegrating rank in fractional systems.
+Normal rank
@@ Property / cites work @@
+On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
+Normal rank