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Long memory processes and fractional integration in econometrics · Study

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ArticleLong memory processes and fractional integration in econometrics

Richard T. Baillie1996

Article1996

Long memory processes and fractional integration in econometrics

Richard T. Baillie

1,879 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

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1968Fractional Brownian Motions, Fractional Noises and Applications 1982Trends and random walks in macroeconmic time series 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1987Extreme Values, Regular Variation and Point Processes 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2001Long memory and regime switching 1999Scaling of the distribution of fluctuations of financial market indices 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

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Details

Year1996

Typearticle

Published1996-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations1,879

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0304-4076(95)01732-1

openalex_workW2116807840

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2004

Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

1997Volatilities of different time resolutions — Analyzing the dynamics of market components

2003Time-changed Lévy processes and option pricing