Fractional differencing in discrete time

DOI10.1080/14697688.2012.676207MaRDI QIDQ5746753zbMATH OpenOpenAlexFDO

Authors John Elder, Robert J. Elliott, Hong Miao

Publication date 8 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10217/206895

zbMATH Keywords

commodity pricescomputational financeempirical time series analysistime series analysiswavelets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient Wald Tests for Fractional Unit Roots
• Exact local Whittle estimation of fractional integration
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Heteroskedasticity-robust testing for a fractional unit root
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Local Whittle estimation in nonstationary and unit root cases.
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• Log-periodogram regression of time series with long range dependence
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• Long memory relationships and the aggregation of dynamic models
• Long-Term Memory in Stock Market Prices
• Nonstationarity-extended local Whittle estimation
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Cited in

(6)

• Fractional differences, derivatives and fractal time series.
• Strategic asset allocation under a fractional hidden Markov model
• Fractional integration and data frequency
• Control of discrete-time HMM partially observed under fractional Gaussian noises
• A filter for a state space model with fractional Gaussian noise
• A filter for a hidden Markov chain observed in fractional Gaussian noise

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