Why Aggregate Long Memory Time Series?

DOI10.1080/07474930701873408zbMath1359.62386MaRDI QIDQ3539877

Leonardo Rocha Souza

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701873408

zbMATH Keywords

bandwidth; spectrum; long memory; temporal aggregation

Mathematics Subject Classification ID

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

62M15: Inference from stochastic processes and spectral analysis

91B84: Economic time series analysis

Related Items

Aggregation of the generalized fractional processes, Estimation of fractional integration under temporal aggregation, Realized Volatility and Long Memory: An Overview

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