Properties of nonlinear transformations of fractionally integrated processes.

DOI10.1016/S0304-4076(02)00089-1zbMath1043.62071OpenAlexW3121453101MaRDI QIDQ1858966

Clive W. J. Granger, Ingolf Dittmann

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00089-1

zbMATH Keywords

nonlinearityfractional integrationlong memorynon-stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

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