Indirect estimation of ARFIMA and VARFIMA models (Q1808561): Difference between revisions

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+Estimating continuous-time stochastic volatility models of the short-term interest rate
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+Long memory processes and fractional integration in econometrics
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Parameter estimation in low order fractionally differenced ARMA processes
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+Modeling and pricing long memory in stock market volatility
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+Time series: theory and methods.
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+A note on calculating the autocovariances of the fractionally integrated ARMA models
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+On some simple, autoregression-based estimation and identification techniques for ARMA models
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+Estimating stochastic differential equations efficiently by minimum chi-squared
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Q4409944
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+ON GENERALIZED FRACTIONAL PROCESSES
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+Fractional differencing
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+The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
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+ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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+Bayesian analysis of long memory and persistence using ARFIMA models
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+Bias in the sample autocorrelations of fractional noise
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+Log-periodogram regression of time series with long range dependence
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+A minimum distance estimator for long-memory processes
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+Q128036900
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+Publication:1808561