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Long memory continuous time models

Published:1996-07 Issue:1 Volume:73 Page:101-149
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Comte F.,Renault E.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference32 articles.

1. Long-memory inflation uncertainty: Evidence from the term structure of interest rates;Backus;Journal of Money, Credit and Banking,1995

2. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;Journal of Econometrics,1993

3. Continuous time econometric modelling;Bergstrom,1990

4. A fractional cointegration analysis;Cheung;Journal of Business and Economic Statistics,1993

Cited by 169 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. Bayesian inference for long memory term structure models;Journal of Statistical Computation and Simulation;2024-01-02

2. The Impact of Long Memory in Interest Rates on Economic Capital;2024

3. Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes;Chaos, Solitons & Fractals;2023-12

4. Interest rate modeling with generalized Langevin equations;Brazilian Journal of Probability and Statistics;2023-09-01

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

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