A new simple test against spurious long memory using temporal aggregation
From MaRDI portal
Publication:4914973
DOI10.1080/00949655.2010.483231zbMath1431.62394OpenAlexW2041618547MaRDI QIDQ4914973
Publication date: 16 April 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2010.483231
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (1)
Cites Work
- Modelling structural breaks, long memory and stock market volatility: an overview
- Central limit theorems for quadratic forms in random variables having long-range dependence
- A simple nonlinear time series model with misleading linear properties
- Limit theorems for quadratic forms with applications to Whittle's estimate
- Long memory versus structural breaks: an overview
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- Varieties of long memory models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Temporal Aggregation and Bandwidth selection in estimating long memory
- Testing for a change of the long-memory parameter
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Testing and estimating for change in long memory parameter
- Test for Parameter Change in Linear Processes Based on Whittle's Estimator
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
This page was built for publication: A new simple test against spurious long memory using temporal aggregation