Fractional differencing in discrete time (Q5746753): Difference between revisions

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+Nonstationarity-extended local Whittle estimation
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+Q4230831
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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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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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
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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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+An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
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+HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
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+Long-Term Memory in Stock Market Prices
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+Efficient Wald Tests for Fractional Unit Roots
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+Local Whittle estimation in nonstationary and unit root cases.
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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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+LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN  ESTIMATING THE MEMORY PARAMETER OF LEVELS
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+Exact local Whittle estimation of fractional integration
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+Gaussian Semiparametric Estimation of Non-stationary Time Series
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+LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
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