Averaged periodogram estimation of long memory
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Cites work
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- Self-Similar Probability Distributions
- Semiparametric analysis of long-memory time series
- Semiparametric exploration of long memory in stock prices
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Tests for Hurst effect
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(52)- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
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- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Estimation of fractional integration under temporal aggregation
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- scientific article; zbMATH DE number 7578267 (Why is no real title available?)
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