The scaling function-based estimator of long memory in the presence of a short-term component

DOI10.1016/J.ECONLET.2003.12.011zbMath1255.62246OpenAlexW2075304869MaRDI QIDQ1927528

Jérôme Fillol, Fabien Tripier

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.12.011

zbMATH Keywords

long memoryscaling functionARFIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (2)

Short and long memory in stock returns data ⋮ Estimating long memory: scaling function vs. Andrews and Guggenberger GPH

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Rescaled variance and related tests for long memory in volatility and levels
• Long memory processes and fractional integration in econometrics
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

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