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ArticleEstimating a generalized long memory process

Ching‐Fan Chung1996

Article1996

Estimating a generalized long memory process

Ching‐Fan Chung

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

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Time Series Analysis and Forecasting

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References

1977Time Series Analysis: Forecasting and Control 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1987Time Series Regression with a Unit Root 1981Fractional Differencing 1981Some properties of time series data and their use in econometric model specification 1980Long memory relationships and the aggregation of dynamic models 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model

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2001Gaussian estimation of parametric spectral density with unknown\n\t\t\t pole 2012A non-linear approach with long range dependence based on chebyshev polynomials 2010A wavelet-based approach for modelling exchange rates 2001Calculating and analyzing impulse responses for the vector ARFIMA model 2001Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries

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Year1996

Typearticle

Published1996-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations134

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0304-4076(95)01739-9

openalex_workW2062053579

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