On the memory of products of long range dependent time series

DOI10.1016/J.ECONLET.2017.01.025MaRDI QIDQ1672905zbMATH OpenOpenAlexFDO

Authors Christian Leschinski

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-569.pdf

zbMATH Keywords

fractional cointegrationlong memoryproducts of time seriessquared time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Production theory, theory of the firm (91B38)

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Cites work

• A note on the time series which is the product of two stationary time series
• Autocovariance functions of series and of their transforms
• Local polynomial Whittle estimation of perturbed fractional processes
• Long-memory processes. Probabilistic properties and statistical methods
• Long-run covariance matrices for fractionally integrated processes
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• Properties of nonlinear transformations of fractionally integrated processes.
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

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