Subject
Economics and Econometrics,Finance
Reference5 articles.
1. On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean;Cheung;Journal of Econometric,1993
2. Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models;Chung;Empirical Economics,1993
3. Table of integrals, series, and products;Gradshteyn,1980
4. Maximum likelihood estimation of stationary univariate fractionally integrated time series models;Sowell;Journal of Econometrics,1992
5. Modelling long-run behavior with fractional ARIMA model;Sowell;Journal of Monetary Economics,1992
Cited by
19 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. Volatility Puzzle: Long Memory or Antipersistency;Management Science;2022-11-07
3. Volatility Puzzle;SSRN Electronic Journal;2022
4. Bibliography;Linear Models and Time-Series Analysis;2018-11-26
5. Bibliography;Wiley Series in Probability and Statistics;2018-09-28