Why Aggregate Long Memory Time Series?

DOI10.1080/07474930701873408MaRDI QIDQ3539877zbMATH OpenOpenAlexFDO

Authors 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

bandwidthlong memoryspectrumtemporal aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 912024 (Why is no real title available?)
• A comparison of techniques of estimation in long-memory processes.
• A critical look at Lo's modified \(R/S\) statistic.
• A simple nonlinear time series model with misleading linear properties
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Comparing the bias and misspecification in ARFIMA models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Gaussian semiparametric estimation of long range dependence
• Higher-order kernel semiparametric M-estimation of long memory
• Log-periodogram regression of time series with long range dependence
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Long-Term Memory in Stock Market Prices
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
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• Realized Volatility: A Review
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• Robust automatic bandwidth for long memory
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Temporal Aggregation and Bandwidth selection in estimating long memory
• The Distribution of Realized Exchange Rate Volatility
• The Hurst effect under trends
• The detection and estimation of long memory in stochastic volatility
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Varieties of long memory models

Cited in

(8)

• Estimation of fractional integration under temporal aggregation
• Aggregation and memory of models of changing volatility
• Realized Volatility and Long Memory: An Overview
• A general property for time aggregation
• Long memory, fractional integration, and cross-sectional aggregation
• Spectral properties of temporally aggregated long memory processes
• Aggregation of the generalized fractional processes
• True versus spurious long memory: some theoretical results and a Monte Carlo comparison

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