The Empirical Properties of Some Popular Estimators of Long Memory Processes
Year of publication: |
2008-06-26
|
---|---|
Authors: | Brown, Jennifer ; Oxley, Les ; Rea, William ; Reale, Marco |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Strong dependence | global dependence | long range dependence | Hurst parameter estimators |
-
Not all estimators are born equal: The empirical properties of some estimators of long memory
Rea, William, (2013)
-
A New Procedure to Test for H Self-Similarity
Oxley, Les, (2008)
-
Long memory or shifting means? A new approach and application to realised volatility
Mendes, Eduardo, (2008)
- More ...
-
Long memory or shifting means? A new approach and application to realised volatility
Mendes, Eduardo, (2008)
-
A New Procedure to Test for H Self-Similarity
Oxley, Les, (2008)
-
Long memory or shifting means in geophysical time series?
Rea, William, (2011)
- More ...