Fractional differencing and long memory processes

zbMath0854.00011MaRDI QIDQ1922356

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Publication date: 2 January 1997

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

zbMATH Keywords

Special issueFractional differencing processesLong memory processes

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Collections of articles of miscellaneous specific interest (00B15)

Related Items (8)

Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Nonlinear time series: computations and applications ⋮ Towards solving linear fractional differential equations with Hermite operational matrix ⋮ From Newton's equation to fractional diffusion and wave equations ⋮ From radiation and space exploration to the fractional calculus ⋮ Regression model fitting with long memory errors ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Estimating long-range dependence: Finite sample properties and confidence intervals

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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