A note on calculating the autocovariances of the fractionally integrated ARMA models

DOI10.1016/0165-1765(94)90026-4zbMath0825.62672OpenAlexW1996984156MaRDI QIDQ1331847

Ching-Fan Chung

Publication date: 19 February 1995

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90026-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Long memory processes and fractional integration in econometrics ⋮ A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS ⋮ Distinguishing short and long memory volatility specifications ⋮ Finite sample efficiency of OLS in linear regression models with long-memory disturbances ⋮ A note on calculating autocovariances of long‐memory processes ⋮ Indirect estimation of ARFIMA and VARFIMA models

Cites Work

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