Sample autocorrelations of nonstationary fractionally integrated series
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Publication:1370193
DOI10.1007/BF02925214zbMath0883.62022MaRDI QIDQ1370193
Publication date: 26 October 1997
Published in: Statistical Papers (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (3)
On the origin of high persistence in GARCH-models ⋮ Spurious persistence in stochastic volatility ⋮ Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
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