A general asymptotic theory for time-series models
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Cites work
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- Asymptotic theory for a vector ARMA-GARCH model
- Ergodicity and invertibility of threshold moving-average models
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Estimation in nonlinear time series models
- Fractional differencing
- Long memory processes and fractional integration in econometrics
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On the measurability and consistency of minimum contrast estimates
- Testing for a linear MA model against threshold MA models
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