Weak Identification of Long Memory with Implications for Inference-Reference-Cited by-同舟云学术

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Weak Identification of Long Memory with Implications for Inference

Published:2022 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Li Jia,Phillips Peter C. B.,Shi Shuping,Yu Jun

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference94 articles.

1. Aggregation, Persistence and Volatility in a Macro Model;K Abadir;Review of Economic Studies,2002

2. Long cycles: Fact or artifact?;I Adelman;American Economic Review,1965

3. Bias in an estimator of the fractional difference parameter;C Agiakloglou;Journal of Time Series Analysis,1993

4. A noise trader model as a generator of apparent financial power laws and long memory;S Alfarano;Macroeconomic Dynamics,2007

5. Return volatility and trading volume: An information flow interpretation of stochastic volatility;T G Andersen;The Journal of Finance,1996

Cited by 2 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. Fractional stochastic volatility model;Journal of Time Series Analysis;2024-05-17

2. Latent local-to-unity models;Econometric Reviews;2023-06-29

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