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Robustness of whittle-type estimators for time series with long-range dependence
4 references·4 citing·23 second hop
Robustness of whittle-type estimators for time series with long-range dependence (1997)Robustness of whittle-type estimators for…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Predicting BRICS stock returns using ARFIMA models (2014)Predicting BRICS stock return…Measuring Fractality (2012)Measuring FractalityOn the wavelet spectrum diagnostic for Hurst parameter estimation in the analysis of Internet traffic (2005)On the wavelet spectrum diagn…ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY (2001)ESTIMATION OF PARAMETERS IN A…Time Series Analysis: Forecasting and Control (1977)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Comparing Predictive Accuracy (1994)Long memory and volatility persistence across BRICS stock markets (2022)Theory and applications of long-range dependence (2003)Modeling network traffic using generalized Cauchy process (2008)Multi-fractional generalized Cauchy process and its application to teletraffic (2020)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Introduction to Time Series and Forecasting (2002)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Wavelet analysis of long-range-dependent traffic (1998)Effect of nonstationarities on detrended fluctuation analysis (2002)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)
this work references cited by second hop

References

  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited

Cited by

  • 2005On the wavelet spectrum diagnostic for Hurst parameter estimation in the analysis of Internet traffic110 cited
  • 2012Measuring Fractality74 cited
  • 2001ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY63 cited
  • 2014Predicting BRICS stock returns using ARFIMA models35 cited

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