Aggregation of the generalized fractional processes

DOI10.1016/J.ECONLET.2014.05.026MaRDI QIDQ485603zbMATH OpenOpenAlexFDO

Authors Jingwei Sun, Wendong Shi

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.05.026

zbMATH Keywords

aggregationlong memoryfrequency domaingeneralized fractional processes

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Estimating a generalized long memory process
• Estimation of fractional integration under temporal aggregation
• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Why Aggregate Long Memory Time Series?

Cited in

(2)

• Estimation of fractional integration under temporal aggregation
• Persistence under temporal aggregation and differencing

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