Generating schemes for long memory processes: regimes, aggregation and linearity

DOI10.1016/j.jeconom.2004.08.014zbMath1335.62129OpenAlexW2163627994WikidataQ57936773 ScholiaQ57936773MaRDI QIDQ265026

F. Blanchet-Sadri, M. Dambrine

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/5220

zbMATH Keywords

aggregationlong memoryLévy motionregime-switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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