Long Memory in Nonlinear Processes
Author:
Publisher
Springer New York
Link
http://link.springer.com/content/pdf/10.1007/0-387-36062-X_10
Reference58 articles.
1. Rolf K. Adenstedt. On large-sample estimation for the mean of a stationary random sequence. The Annals of Statistics, 2:1095–1107, 1974.
2. Josu Arteche. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. Journal of Econometrics, 119(1):131–154, 2004.
3. Richard T. Baillie, Tim Bollerslev, and Hans Ole Mikkelsen. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1):3–30, 1996.
4. F. Jay Breidt, Nuno Crato, and Pedro de Lima. The detection and estimation of long memory in stochastic volatility. Journal of Econometrics, 83(1–2):325–348, 1998.
5. Tim Bollerslev and Hans Ole Mikkelsen. Modeling and pricing long memory in stock market volatility. Journal of Econometrics, 73(1):151–184, 1996.
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A tail index estimation for long memory processes;Metrika;2023-12-20
2. Inflation in the G7 countries: persistence and structural breaks;Journal of Economics and Finance;2022-04-05
3. Testing for Change in Long‐Memory Stochastic Volatility Time Series;Journal of Time Series Analysis;2019-03-07
4. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models;Econometric Reviews;2015-09-23
5. Origins and Generation of Long Memory;Long-Memory Processes;2013
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3