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On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
Ercolani, Joanne S. - 2010
Persistent link: https://www.econbiz.de/10009374216
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The effect of round-off error on long memory processes
La Spada, Gabriele; Lillo, Fabrizio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 445-482
Persistent link: https://www.econbiz.de/10010461206
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The asymmetry and fractional integration of the unemployment rate in Albania
Shalari, Ornela; Laho, Emmelinda; Gumeni, Anita - In: International journal of economic policy in emerging … 8 (2015) 3, pp. 229-244
Persistent link: https://www.econbiz.de/10011506047
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Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66
Persistent link: https://www.econbiz.de/10011548319
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Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
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Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012258310