LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
From MaRDI portal
Publication:5696845
DOI10.1142/S0219024903001827zbMath1079.91062OpenAlexW1992637947MaRDI QIDQ5696845
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024903001827
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Long memory relationships and the aggregation of dynamic models
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Log-periodogram regression of time series with long range dependence
- A class of micropulses and antipersistent fractional Brownian motion
- Gaussian semiparametric estimation of long range dependence
- Testing Stochastic Cycles in Macroeconomic Time Series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for unit roots in autoregressive-moving average models of unknown order
- On the Theory of Testing for Unit Roots in Observed Time Series
- Testing for a unit root in time series regression
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Fitting long-memory models by generalized linear regression
- Evaluation of robinson's (1994) Tests in finite samples
- Time Series Regression with a Unit Root
- An exponential model for the spectrum of a scalar time series
This page was built for publication: LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
