Gaussian semiparametric estimation of multivariate fractionally integrated processes
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Cites work
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- scientific article; zbMATH DE number 1944322 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A Nonparametric Test for I(0)
- A semiparametric two-step estimator in a multivariate long memory model
- An efficient taper for potentially overdifferenced long-memory time series
- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
- Estimation theory for growth and immigration rates in a multiplicative process
- Exact local Whittle estimation of fractional integration
- Gaussian semiparametric estimation of long range dependence
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Matrix Analysis
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Cited in
(34)- Definitions and representations of multivariate long-range dependent time series
- Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
- Consistent inference for predictive regressions in persistent economic systems
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Diagnostic testing for cointegration
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
- The averaged periodogram estimator for a power law in coherency
- A fractionally integrated Wishart stochastic volatility model
- Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
- Testing for parameter instability and structural change in persistent predictive regressions
- Long memory and long run variation
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- Fractional integration versus level shifts: the case of realized asset correlations
- Multivariate wavelet Whittle estimation in long-range dependence
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
- Multiple local Whittle estimation in stationary systems
- Generating univariate fractional integration within a large VAR(1)
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Efficient tapered local Whittle estimation of multivariate fractional processes
- Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Adaptive long memory testing under heteroskedasticity
- Mallows Distance in VARFIMA(0,d, 0) Processes
- Local Whittle estimation of multi-variate fractionally integrated processes
- Exact local Whittle estimation of fractionally cointegrated systems
- Mixed-correlated ARFIMA processes for power-law cross-correlations
- A comparison of semiparametric tests for fractional cointegration
- A multivariate test against spurious long memory
- Semiparametric Estimation of Multivariate Fractional Cointegration
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