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Long memory relationships and the aggregation of dynamic models · Study

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ArticleLong memory relationships and the aggregation of dynamic models

Clive W. J. Granger1980

Article1980

Long memory relationships and the aggregation of dynamic models

Clive W. J. Granger

1,448 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 1968Fractional Brownian Motions, Fractional Noises and Applications 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1971Time Series Analysis, Forecasting and Control.2000Forecasting Economic Time Series

Cited by

1993A long memory property of stock market returns and a new model 2008A Simple Approximate Long-Memory Model of Realized Volatility 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1996Modeling and pricing long memory in stock market volatility 2001Long memory and regime switching 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models

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Details

Year1980

Typearticle

Published1980-10-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations1,448

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0304-4076(80)90092-5

openalex_workW2124357853

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