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Representation and weak convergence of stochastic integrals with fractional integrator processes
Davidson, James E. H.; Hashimzade, Nigar - In: Econometric theory 25 (2009) 6, pp. 1589-1624
Persistent link: https://www.econbiz.de/10003904427
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Alternative frequency and time domain versions of fractional Brownian motion
Davidson, James E. H.; Hashimzade, Nigar - In: Econometric theory 24 (2008) 1, pp. 256-293
Persistent link: https://www.econbiz.de/10003894155
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The central limit theorem for globally nonstationary near-epoch dependent functions of mixing processes : the asymptotically degenerate case
Davidson, James E. H. - In: Econometric theory 9 (1993) 3, pp. 402-412
Persistent link: https://www.econbiz.de/10001151127
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A central limit theorem for globally nonstationary near-epoch dependent functions of mixing processes
Davidson, James E. H. - In: Econometric theory 8 (1992) 3, pp. 313-329
Persistent link: https://www.econbiz.de/10001137723
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The functional central limit theorem and weak convergence to stochastic integrals, [Teil] 1 : weakly dependent processes
Jong, Robert M. de; Davidson, James E. H. - In: Econometric theory 16 (2000) 5, pp. 621-642
Persistent link: https://www.econbiz.de/10001533160
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The functional central limit theorem and weak convergence to stochastic integrals, [Teil] 2 : fractionally integrated processes
Davidson, James E. H.; Jong, Robert M. de - In: Econometric theory 16 (2000) 5, pp. 643-666
Persistent link: https://www.econbiz.de/10001533165
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A general bound for the limiting distribution of Breitung's statistic
Davidson, James E. H.; Magnus, Jan R.; Wiegerinck, Jan - In: Econometric theory 24 (2008) 5, pp. 1443-1455
Persistent link: https://www.econbiz.de/10003748817
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ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
Davidson, James; Hashimzade, Nigar; Beran, J.; … - In: Econometric theory 24 (2008) 1, pp. 256-293
Persistent link: https://www.econbiz.de/10007896787
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REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
Davidson, James; Hashimzade, Nigar - In: Econometric theory 25 (2009) 6, pp. 1589-1624
Persistent link: https://www.econbiz.de/10008325216
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LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
Phillips, Peter C.B.; Kim, Chang Sik; Bleistein, N.; … - In: Econometric theory 23 (2007) 6, pp. 1233-1247
Persistent link: https://www.econbiz.de/10007869210