Fractional differencing and long memory processes

MaRDI QIDQ1922356zbMATH OpenFDO

Authors

Publication date 2 January 1997

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Fractional differencing processesLong memory processesSpecial issue

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(18)

• Regression model fitting with long memory errors
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Long memory and multifractality: a joint test
• A generalized fractionally differencing approach in long-memory modeling
• From radiation and space exploration to the fractional calculus
• Econometric estimation in long-range dependent volatility models: theory and practice
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
• scientific article; zbMATH DE number 4126536 (Why is no real title available?)
• Prediction of fractional processes with long-range dependence
• Fractional Deterministic Factor Analysis of Economic Processes with Memory and Nonlocality
• scientific article; zbMATH DE number 954436 (Why is no real title available?)
• Long Memory in Finance and Fractional Brownian Motion
• From Newton's equation to fractional diffusion and wave equations
• Gradual changes in long memory processes with applications
• Towards solving linear fractional differential equations with Hermite operational matrix
• Nonlinear time series: computations and applications

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