Fractional differencing

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Weighted averages and local polynomial estimation for fractional linear ARCH processes
On parameter estimation for locally stationary long-memory processes
Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
Semiparametric estimation for seasonal long-memory time series using generalized exponential models
A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
A test for fractional cointegration using the sieve bootstrap
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
Wavelet analysis of stock returns and aggregate economic activity
The role of long memory in hedging effectiveness
Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
On least squares estimation for long-memory lattice processes
Asymptotic properties of nonparametric regression for long memory random fields
On models and methods for Bayesian time series analysis
Central limit theorems for quadratic forms in random variables having long-range dependence
Time series with infinite-order partial copula dependence
Fractionally integrated generalized autoregressive conditional heteroskedasticity
A comparison of techniques of estimation in long-memory processes.
Asymptotic normality of regression estimators with long memory errors
Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
A new model for slowly-decaying correlations
M-estimators in linear models with long range dependent errors
Parameter estimation in low order fractionally differenced ARMA processes
\(1/f\) filtered chaotic processes
Pitfalls in testing for long run relationships
Spurios regression theory with nonstationary fractionally integrated processes
SEMIFAR forecasts, with applications to foreign exchange rates.
Some simulations and applications of forecasting long-memory time-series models
Convergence of normalized quadratic forms
Estimating fractionally integrated time series models
Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
Estimation of the fractionally differencing parameter with the R/S method
Change-in-mean problem for long memory time series models with applications
The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence
Bayesian analysis of long memory and persistence using ARFIMA models
Sample autocorrelations of nonstationary fractionally integrated series
The detection and estimation of long memory in stochastic volatility
Limit theorems for functionals of moving averages
On the effect of seasonal adjustment on the log-periodogram regression
A matrix evaluation of the moving-average representation
Long-term dependence in stock returns
Mean square prediction error for long-memory processes
Nonparametric M-estimation with long-memory errors
An alternative bootstrap to moving blocks for time series regression models
Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
The bias of lag window estimators of the fractional difference parameter.
A semiparametric two-step estimator in a multivariate long memory model
Robust estimation in long-memory processes under additive outliers
Wavelet analysis and covariance structure of some classes of non-stationary processes
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Estimating the differencing parameter via the partial autocorrelation function
Scaling properties of foreign exchange volatility
Asymptotics for the partial autocorrelation function of a stationary process
On the maximum likelihood cointegration procedure under a fractional equilibrium error
A simple linear time series model with misleading nonlinear properties
SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
Semi-parametric smoothing estimators for long-memory processes with added noise
An improvement of the GPH estimator.
Seasonal FIEGARCH processes
Invariance principles for tempered fractionally integrated processes
Modified cross sample entropy and surrogate data analysis method for financial time series
Universal and non-universal properties of recurrence intervals of rare events
On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
Revisiting the multifractality in stock returns and its modeling implications
Transfer entropy coefficient: quantifying level of information flow between financial time series
The effect of additive outliers on a fractional unit root test
Modified information criteria and selection of long memory time series models
Long memory with stochastic variance model: a recursive analysis for US inflation
When long memory meets the Kalman filter: a comparative study
Realized stochastic volatility with leverage and long memory
Fractionally differenced Gegenbauer processes with long memory: a review
Computation of the autocovariances for time series with multiple long-range persistencies
State space modeling of Gegenbauer processes with long memory
Maximum likelihood estimation of clock skew in IEEE 1588 with fractional Gaussian noise
Identification and validation of stable ARFIMA processes with application to UMTS data
Asymptotic behavior of temporal aggregates in the frequency domain
How close is a fractional process to a random walk with drift?
A generalized ARFIMA model with smooth transition fractional integration parameter
Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
Minimax-rate adaptive nonparametric regression with unknown correlations of errors
Convolved subsampling estimation with applications to block bootstrap
Modified multiscale cross-sample entropy for complex time series
Generating univariate fractional integration within a large VAR(1)
Fractional dynamic behavior in ethanol prices series
Long memory versus structural breaks: an overview
Analytic Hessian matrices and the computation of FIGARCH estimates
Stable limits of sums of bounded functions of long memory moving averages with finite variance
Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
State space modeling of long-memory processes
Indirect estimation of ARFIMA and VARFIMA models
On the asymptotic expansion of the empirical process of long-memory moving averages
Gaussian estimation of parametric spectral density with unknown pole
On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
A nonlinear long memory model, with an application to US unemployment.

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