Long memory processes and fractional integration in econometrics

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DOI10.1016/0304-4076(95)01732-1zbMath0854.62099OpenAlexW2116807840MaRDI QIDQ1922357

Richard T. Baillie

Publication date: 19 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01732-1

zbMATH Keywords

survey stochastic volatility fractional integration long memory processes finance review Hurst effect maximum likelihood techniques ARFIMA processes FIGARCH processes semiparametric procedures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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