TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

DOI10.1111/J.1467-9892.1993.TB00149.XMaRDI QIDQ3141186zbMATH OpenOpenAlexFDO

Authors Yin-Wong Cheung

Publication date 10 December 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00149.x

Mathematics Subject Classification ID

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

Cites work

• Long-Term Memory in Stock Market Prices
• On estimation of a regression model with long-memory stationary errors
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• The Fractional Unit Root Distribution

Cited in

(18)

• Estimating the differencing parameter via the partial autocorrelation function
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Long memory processes and fractional integration in econometrics
• The detection and estimation of long memory in stochastic volatility
• Estimation of the fractionally differencing parameter with the R/S method
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
• Long-memory in high-frequency exchange rate volatility under temporal aggregation
• Rescaled variance and related tests for long memory in volatility and levels
• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• Inference on the cointegration rank in fractionally integrated processes.
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Tests of long memory: a bootstrap approach
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Waves and persistence in merger and acquisition activity

This page was built for publication: TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3141186)