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ArticleAveraged periodogram estimation of long memory

Ignacio N. Lobato1996

Article1996

Averaged periodogram estimation of long memory

Ignacio N. Lobato · Peter M. Robinson

129 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 1975Weak convergence to fractional brownian motion and to the rosenblatt process 1987Tests for Hurst Effect 1994Semiparametric Analysis of Long-Memory Time Series 1994Advances in Econometrics

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2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION 2002Multi-Fractality in Foreign Currency Markets 2004Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997 2015Combining ARFIMA models and fuzzy time series for the forecast of long memory time series 2007Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation 2006Does trading volume really explain stock returns volatility?2003Long Memory Inflationary Dynamics: The Case of Brazil

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Year1996

Typearticle

Published1996-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations129

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0304-4076(95)01742-9

openalex_workW2041817790

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2008Change-in-mean problem for long memory time series models with applications