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Long Memory Relationships and the Aggregation of Dynamic Models
5 references·16 citing·34 second hop
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1956Linear Aggregation of Economic Relations.344 cited

Cited by

  • 2004Estimation and interpretation of 1/fα noise in human cognition304 cited
  • 2006Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models266 cited
  • 1996Long memory continuous time models248 cited
  • 1999What is Fractional Integration?229 cited
  • 2005Heterogeneity and Aggregation220 cited
  • 2007Strategic Party Government: Party Influence in Congress, 1789–2000199 cited
  • 2004Tempting long-memory - on the interpretation of DFA results190 cited
  • 2003Aggregation of space-time processes182 cited
  • 1996The Dynamics of Aggregate Partisanship162 cited
  • 2002Long memory in stock returns: some international evidence156 cited
  • 2009Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate

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155 cited
  • 2008Out of sample forecasts of quadratic variation149 cited
  • 2000The spurious regression of fractionally integrated processes134 cited
  • 2005Long range dependence in financial markets131 cited
  • 2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited
  • 2013Large Panel Data Models with Cross-Sectional Dependence: A Survey124 cited