Long-memory property of nonlinear transformations of break processes
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Publication:1927845
DOI10.1016/j.econlet.2004.12.013zbMath1254.91689OpenAlexW2005139141MaRDI QIDQ1927845
Publication date: 2 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.12.013
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (2)
Estimation of fractional integration in the presence of data noise ⋮ Structural breaks in time series
Cites Work
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- CLT and other limit theorems for functionals of Gaussian processes
- Convergence of integrated processes of arbitrary Hermite rank
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- ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
- FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Long memory and regime switching
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