SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Properties of nonlinear transformations of fractionally integrated processes · Study

ArticleShelves

ArticleProperties of nonlinear transformations of fractionally integrated processes

Ingolf Dittmann A2002

OA

Articlegreen2002

Properties of nonlinear transformations of fractionally integrated processes

Ingolf Dittmann A · Clive W. J. Granger

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 113 citations exist upstream.

References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.2001Long memory and regime switching 1979Convergence of integrated processes of arbitrary Hermite rank 1998The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 1976Forecasting Transformed Series 1991NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 1995Modelling Nonlinear Relationships between Extended-Memory Variables

Cited by

2005How can we Define the Concept of Long Memory? An Econometric Survey 2023The impact of geopolitical risk on the behavior of oil prices and freight rates 2007Nonlinearities and Fractional Integration in the US Unemployment Rate*2004Modelling Realized Variance when Returns are Serially Correlated 2009CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 2006

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008True or Spurious Long Memory? A New Testarticle · 4 shared references 2009Long-Memory and Level Shifts in the Volatility of Stock Market Return Indicesarticle · 4 shared references 2006Long Memory and the Relation Between Implied and Realized Volatilityarticle · 4 shared references 2007Long memory and structural changes in the forward discount: An empirical investigationarticle · 4 shared references 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effectsarticle · 3 shared references 2008The Volatility of Realized Volatilityarticle · 3 shared references

Details

Year2002

Typearticle

Published2002-10-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations113

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/s0304-4076(02)00089-1

openalex_workW3121453101

Links

Imported from OpenAlex (CC0) — nothing here is generated.

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application

2012Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach