Modeling bivariate long‐range dependence with general phase

DOI10.1111/JTSA.12504zbMath1456.62200OpenAlexW2995200095MaRDI QIDQ5111845

Vladas Pipiras, Stefanos Kechagias

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12504

zbMATH Keywords

estimationlong-range dependencebivariate time seriesphase parameterVARFIMA

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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