Why Aggregate Long Memory Time Series?

DOI10.1080/07474930701873408zbMath1359.62386OpenAlexW2077997747MaRDI QIDQ3539877

Leonardo Rocha Souza

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701873408

zbMATH Keywords

bandwidthspectrumlong memorytemporal aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison ⋮ Realized Volatility and Long Memory: An Overview ⋮ Aggregation of the generalized fractional processes ⋮ Estimation of fractional integration under temporal aggregation

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