Fractional integration and data frequency

DOI10.1080/00949650802527487MaRDI QIDQ5306326zbMATH OpenOpenAlexFDO

Authors Guglielmo Maria Caporale, Luis A. Gil-Alana

Publication date 8 April 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://www.unav.edu/documents/10174/6546776/1227197518_WP_10_08_Alana_Caporale.pdf

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
• Approach to an irregular time series on the basis of the fractal theory
• Efficient parameter estimation for self-similar processes
• Efficient Tests of Nonstationary Hypotheses
• Exact local Whittle estimation of fractional integration
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Long memory processes and fractional integration in econometrics
• Long memory relationships and the aggregation of dynamic models
• Long-Term Memory in Stock Market Prices
• Rescaled variance and related tests for long memory in volatility and levels
• Spurious Periodicity in Inappropriately Detrended Time Series
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Trends versus Random Walks in Time Series Analysis

Cited in

(4)

• Fractional integration and interval prediction
• Digital Fractional Integrator
• Fractional differencing in discrete time
• Fractional integration with Bloomfield exponential spectral disturbances: a Monte Carlo experiment and an application

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