Modeling bivariate long-range dependence with general phase

DOI10.1111/JTSA.12504MaRDI QIDQ5111845zbMATH OpenOpenAlexFDO

Authors Stefanos Kechagias, Vladas Pipiras

Publication date 27 May 2020

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

Full work available at URL https://doi.org/10.1111/jtsa.12504

zbMATH Keywords

estimationlong-range dependencebivariate time seriesphase parameterVARFIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(1)

• Definitions and representations of multivariate long-range dependent time series

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