An improvement of the GPH estimator-Reference-Cited by-同舟云学术

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An improvement of the GPH estimator

Published:2002-09 Issue:1 Volume:77 Page:137-146
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Andersson Jonas

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference10 articles.

1. Statistics for Long Memory Processes;Beran,1994

2. The estimation and application of long memory time series models;Geweke;Journal of Time Series Analysis,1983

3. An introduction to long memory models and fractional integration;Granger;Journal of Time Series Analysis,1980

4. Fractional differencing;Hosking;Biometrica,1981

5. Modeling persistence in hydrological time series using fractional differencing;Hosking;Water Resources Research,1984

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1. Long-Range Dependence and Self-Similarity;CA ST PR MA;2017

2. Self-affinity in financial asset returns;International Review of Financial Analysis;2012-09

3. A Bayesian test for periodic signals in red noise;Monthly Notices of the Royal Astronomical Society;2009-11-23

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