Why Aggregate Long Memory Time Series? (Q3539877)

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Language	Label	Description	Also known as
English	Why Aggregate Long Memory Time Series?	scientific article

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scholarly article

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Why Aggregate Long Memory Time Series? (English)

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Leonardo Rocha Souza

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Econometric Reviews

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publication date

19 November 2008

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zbMATH Keywords

bandwidth

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long memory

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spectrum

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temporal aggregation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07474930701873408

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The Distribution of Realized Exchange Rate Volatility

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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The Hurst effect under trends

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A comparison of techniques of estimation in long-memory processes.

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The detection and estimation of long memory in stochastic volatility

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Semi-parametric smoothing estimators for long-memory processes with added noise

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Long memory and regime switching

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Long memory relationships and the aggregation of dynamic models

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Varieties of long memory models

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A simple nonlinear time series model with misleading linear properties

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Robust Automatic Bandwidth for Long Memory

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AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

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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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The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

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Refined Inference on Long Memory in Realized Volatility

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Long-Term Memory in Stock Market Prices

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Realized Volatility: A Review

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Rates of convergence and optimal spectral bandwidth for long range dependence

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Log-periodogram regression of time series with long range dependence

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Gaussian semiparametric estimation of long range dependence

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Higher-order kernel semiparametric M-estimation of long memory

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Comparing the bias and misspecification in ARFIMA models

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Temporal Aggregation and Bandwidth selection in estimating long memory

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A critical look at Lo's modified \(R/S\) statistic.

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Identifiers

zbMATH Open document ID

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10.1080/07474930701873408

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3539877

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