Bayesian analysis of long memory and persistence using ARFIMA models
DOI10.1016/0304-4076(95)01787-9zbMATH Open0873.62091OpenAlexW2568478090MaRDI QIDQ1362033FDOQ1362033
Authors: Gary Koop, Eduardo Ley, Jacek Osiewalski, M. F. J. Steel 
Publication date: 4 November 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01787-9
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- Are output fluctuations transitory?
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- Title not available (Why is that?)
- Bias in the sample autocorrelations of fractional noise
- Estimating fractionally integrated time series models
Cited In (18)
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Bayesian analysis of fractional time series models
- Data analysis using regression models with missing observations and long-memory: an application study
- A Bayesian approach to estimating the long memory parameter
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
- Bayesian inference for a mixture double autoregressive model
- Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- Indirect estimation of ARFIMA and VARFIMA models
- Bayesian inference for ARFIMA models
- Bayesian analysis of autoregressive fractionally integrated moving-average processes
- Fast Bayesian estimation for VARFIMA processes with stable errors
- First-order bias correction for fractionally integrated time series
- Asymptotic properties of parametric Bayesian estimation in ARFIMA models
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
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