Autocovariance functions of series and of their transforms

DOI10.1016/J.JECONOM.2004.02.015zbMATH Open1335.62123OpenAlexW3122808363MaRDI QIDQ261897FDOQ261897

Authors: Karim M. Abadir, Gabriel Talmain 

Publication date: 24 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.015

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zbMATH Keywords

time seriesautocovariance functionsnonlinear transformations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Nonlinearity and temporal dependence
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• Expansions for some confluent hypergeometric functions
• Aggregation, Persistence and Volatility in a Macro Model
• An introduction to hypergeometric functions for economists
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• A Stochastic Approach to the Gamma Function
• A General Approximation to the Distribution of Instrumental Variables Estimates
• The limiting distribution of the autocorrelation coefficient under a unit root

Cited In (4)

• Modeling and forecasting persistent financial durations
• Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
• A note on time series differencing
• On the memory of products of long range dependent time series

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