On the estimation of short memory components in long memory time series models

DOI10.1515/snde-2015-0120OpenAlexW2519958550MaRDI QIDQ2691673

Richard T. Baillie, George Kapetanios

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0120

zbMATH Keywords

time seriesnonlinearlong memory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Cites Work

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