Analysis of the correlation structure of square time series

DOI10.1111/J.1467-9892.2004.01797.XMaRDI QIDQ4677028zbMATH OpenOpenAlexFDO

Authors Wilfredo Palma, Mauricio Zevallos

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01797.x

zbMATH Keywords

autocorrelationconditional heteroscedasticitylong memorynonlinear time series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(4)

• Moments of the ARMA–EGARCH model
• Analysis of Serially Correlated Data Using Quasi-Least Squares
• A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
• Long-range dependence in third order and bispectrum singularity

Describes a project that uses

Uses Software

• longmemo

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