True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/07474938.2013.808462
Reference40 articles.
1. Can aggregation explain the persistence of inflation?
2. The Distribution of Realized Exchange Rate Volatility
3. Modeling and Forecasting Realized Volatility
4. Tests for Parameter Instability and Structural Change With Unknown Change Point
5. Testing for Neglected Nonlinearity in Long-Memory Models
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