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Broadband log-periodogram regression of time series with long-range dependence

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References

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1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
1989Efficient Parameter Estimation for Self-Similar Processes692 cited
1998The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series340 cited
1999Gaussian Semiparametric Estimation of Non‐stationary Time Series337 cited

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2009Long Memory in Oil and Refined Products Markets69 cited
2005Consistent estimation of the memory parameter for nonlinear time series59 cited
2006A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS40 cited

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2004

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