A complete asymptotic series for the autocovariance function of a long memory process
DOI10.1016/J.JECONOM.2008.09.021zbMATH Open1429.62403OpenAlexW3121414735MaRDI QIDQ299260FDOQ299260
Authors: Offer Lieberman, Peter C. B. Phillips 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d15/d1586.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Long memory processes and fractional integration in econometrics
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- Rescaled variance and related tests for long memory in volatility and levels
- Recent advances in ARCH modelling
- Refined Inference on Long Memory in Realized Volatility
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
Cited In (8)
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Perpetual learning and apparent long memory
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- A note on calculating autocovariances of long‐memory processes
- FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
- On the asymptotic distribution of sample autocovariance differences of long-memory processes
- Long memory and long run variation
- Long-run covariance matrices for fractionally integrated processes
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