A simple linear time series model with misleading nonlinear properties

DOI10.1016/S0165-1765(99)00153-6MaRDI QIDQ1606377zbMATH OpenOpenAlexWikidataFDO

Authors Michael K. Adersson, Bruno Eklund, Johan Lyhagen

Publication date 1 September 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00153-6

zbMATH Keywords

memorySTARtime series

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• A simple nonlinear time series model with misleading linear properties
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• scientific article; zbMATH DE number 718746 (Why is no real title available?)
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY

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