Properties of nonlinear transformations of fractionally integrated processes.
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Cites work
- CLT and other limit theorems for functionals of Gaussian processes
- Convergence of integrated processes of arbitrary Hermite rank
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- scientific article; zbMATH DE number 3103824 (Why is no real title available?)
- Long memory and regime switching
- Modelling Nonlinear Relationships between Extended-Memory Variables
- MODELS THAT GENERATE TRENDS
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- On the Exact Covariance of Products of Random Variables
- 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
(31)- Estimation of fractional integration in the presence of data noise
- Some generalizations on the algebra of I(1) processes
- A bootstrap approximation for the distribution of the local Whittle estimator
- On the memory of products of long range dependent time series
- Long-memory property of nonlinear transformations of break processes
- Comparing the marginal densities of two strictly stationary linear processes
- Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Block sampling under strong dependence
- Predicting volatility: getting the most out of return data sampled at different frequencies
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Sir Clive W. J. Granger memorial special issue on econometrics: an introduction
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- Inducing normality from non-Gaussian long memory time series and its application to stock return data
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- A Class of Antipersistent Processes
- Polynomial Cointegration Between Stationary Processes With Long Memory
- Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
- Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter
- Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
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- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Memory properties of transformations of linear processes
- Nonlinear system theory: Another look at dependence
- How can we Define the Concept of Long Memory? An Econometric Survey
- On continuous-time autoregressive fractionally integrated moving average processes
- The tenth Vilnius conference on probability theory and mathematical statistics. II
- The effect of round-off error on long memory processes
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