The following pages link to Fractional differencing (Q3915870):
Displaying 50 items.
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- A comparison of techniques of estimation in long-memory processes. (Q1128623) (← links)
- Asymptotic normality of regression estimators with long memory errors (Q1129435) (← links)
- Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence (Q1175664) (← links)
- A new model for slowly-decaying correlations (Q1186041) (← links)
- M-estimators in linear models with long range dependent errors (Q1198999) (← links)
- Parameter estimation in low order fractionally differenced ARMA processes (Q1263210) (← links)
- \(1/f\) filtered chaotic processes (Q1273810) (← links)
- Pitfalls in testing for long run relationships (Q1298439) (← links)
- Spurios regression theory with nonstationary fractionally integrated processes (Q1298444) (← links)
- SEMIFAR forecasts, with applications to foreign exchange rates. (Q1304356) (← links)
- Some simulations and applications of forecasting long-memory time-series models (Q1304368) (← links)
- Convergence of normalized quadratic forms (Q1304371) (← links)
- Estimating fractionally integrated time series models (Q1319620) (← links)
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors (Q1326344) (← links)
- An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series (Q1344955) (← links)
- Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice (Q1347128) (← links)
- Estimation of the fractionally differencing parameter with the R/S method (Q1350272) (← links)
- The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence (Q1359733) (← links)
- Bayesian analysis of long memory and persistence using ARFIMA models (Q1362033) (← links)
- Sample autocorrelations of nonstationary fractionally integrated series (Q1370193) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- Limit theorems for functionals of moving averages (Q1381563) (← links)
- On the effect of seasonal adjustment on the log-periodogram regression (Q1389567) (← links)
- A matrix evaluation of the moving-average representation (Q1391054) (← links)
- Long-term dependence in stock returns (Q1391610) (← links)
- Mean square prediction error for long-memory processes (Q1402928) (← links)
- Nonparametric M-estimation with long-memory errors (Q1410279) (← links)
- An alternative bootstrap to moving blocks for time series regression models (Q1414629) (← links)
- Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing. (Q1427529) (← links)
- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process (Q1429318) (← links)
- A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence (Q1429319) (← links)
- The bias of lag window estimators of the fractional difference parameter. (Q1432802) (← links)
- Wavelet analysis and covariance structure of some classes of non-stationary processes (Q1581068) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Estimating the differencing parameter via the partial autocorrelation function (Q1586563) (← links)
- Scaling properties of foreign exchange volatility (Q1588872) (← links)
- Asymptotics for the partial autocorrelation function of a stationary process (Q1591320) (← links)
- On the maximum likelihood cointegration procedure under a fractional equilibrium error (Q1606352) (← links)
- A simple linear time series model with misleading nonlinear properties (Q1606377) (← links)
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity (Q1608913) (← links)
- Semi-parametric smoothing estimators for long-memory processes with added noise (Q1611815) (← links)
- An improvement of the GPH estimator. (Q1614831) (← links)
- Seasonal FIEGARCH processes (Q1615155) (← links)
- Invariance principles for tempered fractionally integrated processes (Q1615896) (← links)
- Modified cross sample entropy and surrogate data analysis method for financial time series (Q1618520) (← links)
- Universal and non-universal properties of recurrence intervals of rare events (Q1619224) (← links)
- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets (Q1619694) (← links)
- Revisiting the multifractality in stock returns and its modeling implications (Q1620210) (← links)
- Transfer entropy coefficient: quantifying level of information flow between financial time series (Q1620359) (← links)
