Aggregation of the generalized fractional processes

DOI10.1016/J.ECONLET.2014.05.026zbMath1302.91198OpenAlexW2095308647MaRDI QIDQ485603

Wendong Shi, Jingwei Sun

Publication date: 12 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.05.026

zbMATH Keywords

aggregationfrequency domainlong memorygeneralized fractional processes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• Estimation of fractional integration under temporal aggregation
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Estimating a generalized long memory process
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Why Aggregate Long Memory Time Series?
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• THE NONSTATIONARY FRACTIONAL UNIT ROOT

This page was built for publication: Aggregation of the generalized fractional processes