Why Aggregate Long Memory Time Series? (Q3539877): Difference between revisions

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+https://doi.org/10.1080/07474930701873408
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+W2077997747
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+The Distribution of Realized Exchange Rate Volatility
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+The Hurst effect under trends
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+A comparison of techniques of estimation in long-memory processes.
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+The detection and estimation of long memory in stochastic volatility
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+Q4886383
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+Semi-parametric smoothing estimators for long-memory processes with added noise
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+Long memory and regime switching
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Long memory relationships and the aggregation of dynamic models
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+Varieties of long memory models
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+A simple nonlinear time series model with misleading linear properties
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+Robust Automatic Bandwidth for Long Memory
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+AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
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+Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
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+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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+Refined Inference on Long Memory in Realized Volatility
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+Long-Term Memory in Stock Market Prices
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+Realized Volatility: A Review
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+Rates of convergence and optimal spectral bandwidth for long range dependence
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+Log-periodogram regression of time series with long range dependence
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+Gaussian semiparametric estimation of long range dependence
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+Higher-order kernel semiparametric M-estimation of long memory
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+Comparing the bias and misspecification in ARFIMA models
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+Temporal Aggregation and Bandwidth selection in estimating long memory
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+A critical look at Lo's modified \(R/S\) statistic.
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+Publication:3539877