Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application (Q3604092): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4865042 / rank
 
Normal rank
Property / cites work
 
Property / cites work: SEMIFAR forecasts, with applications to foreign exchange rates. / rank
 
Normal rank
Property / cites work
 
Property / cites work: An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4137964 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-term and short-term price memory in the stock market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-range dependence in the conditional variance of stock returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient parameter estimation for self-similar processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tests for Hurst effect / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generating schemes for long memory processes: regimes, aggregation and linearity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory relationships and the aggregation of dynamic models / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3247378 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approach to an irregular time series on the basis of the fractal theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional differencing / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5777032 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a measure of lack of fit in time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-Term Memory in Stock Market Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Averaged periodogram estimation of long memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time Series Regression with a Unit Root / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for a unit root in time series regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric analysis of long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Log-periodogram regression of time series with long range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian semiparametric estimation of long range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4217357 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian Semiparametric Estimation of Non-stationary Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5808925 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS / rank
 
Normal rank

Latest revision as of 02:45, 29 June 2024

scientific article
Language Label Description Also known as
English
Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
scientific article

    Statements

    Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application (English)
    0 references
    0 references
    0 references
    0 references
    24 February 2009
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    ARFIMA\((p,d,q)\) process
    0 references
    fractional Gaussian noise
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references