A Generalised Fractional Differencing Bootstrap for Long Memory Processes
Author:
Affiliation:
1. Data Analytics for Finance and Macro Research CentreKing's Business SchoolLondon UK
2. Quantf Research, Data Analytics for Finance and Macro Research CentreKing's Business SchoolLondon UK
3. Essex Business SchoolUniversity of EssexColchester UK
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12460
Reference47 articles.
1. Nonstationarity-extended local Whittle estimation
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5. Block length selection in the bootstrap for time series
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