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A limit theory for long-range dependence and statistical inference on related models
5 references·16 citing·40 second hop
A limit theory for long-range dependence and statistical inference on related models (1997)A limit theory for long-range dependence …Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Central limit theorems for quadratic forms in random variables having long-range dependence (1987)Central limit theorems for qu…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (2019)Long Memory, Realized Volatil…Realized stochastic volatility with general asymmetry and long memory (2017)Realized stochastic volatilit…A simple test for the equality of integration orders (2013)A simple test for the equalit…Estimation and inference for impulse response functions from univariate strongly persistent processes (2012)Estimation and inference for …TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (2010)TESTING FOR WHITE NOISE UNDER…Long memory in intertrade durations, counts and realized volatility of NYSE stocks (2010)Long memory in intertrade dur…Whittle estimation of EGARCH and other exponential volatility models (2009)Whittle estimation of EGARCH …Multiple local whittle estimation in stationary systems (2008)Multiple local whittle estima…Econometric estimation in long-range dependent volatility models: Theory and practice (2008)Econometric estimation in lon…Nonlinearities and Fractional Integration in the US Unemployment Rate* (2007)Nonlinearities and Fractional…Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005)Finite Sample Comparison of P…Modelling international monthly arrivals using seasonal univariate long-memory processes (2004)Modelling international month…Gaussian Semi‐parametric Estimation of Fractional Cointegration (2003)Gaussian Semi‐parametric Esti…Gaussian inference on certain long-range dependent volatility models (2003)Gaussian inference on certain…Gaussian estimation of parametric spectral density with unknown\n\t\t\t pole (2001)Gaussian estimation of parame…Forecasting with k‐factor Gegenbauer Processes: Theory and Applications (2001)Forecasting with k‐factor Geg…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Seasonal integration and cointegration (1990)Analyzing and forecasting tourism demand with ARAR algorithm (2008)Tourism, terrorism and political violence in Tunisia: Evidence from Markov-switching models (2018)Data source combination for tourism demand forecasting (2019)Long-Term Storage: An Experimental Study. 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this work references cited by second hop

References

  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1987Central limit theorems for quadratic forms in random variables having long-range dependence173 cited

Cited by

  • 2001Gaussian estimation of parametric spectral density with unknown\n\t\t\t pole98 cited
  • 2007Nonlinearities and Fractional Integration in the US Unemployment Rate*95 cited
  • 2008Multiple local whittle estimation in stationary systems90 cited
  • 2001Forecasting with k‐factor Gegenbauer Processes: Theory and Applications81 cited
  • 2004Modelling international monthly arrivals using seasonal univariate long-memory processes74 cited
  • 2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration74 cited
  • 2003Gaussian Semi‐parametric Estimation of Fractional Cointegration57 cited
  • 2010TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS53 cited
  • 2003Gaussian inference on certain long-range dependent volatility models

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50 cited
  • 2010Long memory in intertrade durations, counts and realized volatility of NYSE stocks48 cited
  • 2008Econometric estimation in long-range dependent volatility models: Theory and practice44 cited
  • 2019Long Memory, Realized Volatility and Heterogeneous Autoregressive Models39 cited
  • 2009Whittle estimation of EGARCH and other exponential volatility models32 cited
  • 2017Realized stochastic volatility with general asymmetry and long memory30 cited
  • 2013A simple test for the equality of integration orders21 cited
  • 2012Estimation and inference for impulse response functions from univariate strongly persistent processes19 cited