✦ LIBER ✦

Spectral Regression For Cointegrated Time Series With Long-Memory Innovations

✍ Scribed by D. Marinucci

Book ID: 108549439
Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 262 KB
Volume: 21
Category: Article
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00204

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Long-Memory Errors in Time Series Regres

Long-Memory Errors in Time Series Regressions with a Unit Root

✍ Diego Lubian 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 211 KB

On the Spectral Density of the Wavelet C

On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

✍ E. Moulines; F. Roueff; M. S. Taqqu 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 668 KB

Local linear regression estimation for t

Local linear regression estimation for time series with long-range dependence

✍ Elias Masry; Jan Mielniczuk 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 171 KB

Nonlinear time series with long memory:

Nonlinear time series with long memory: a model for stochastic volatility

✍ Peter M. Robinson; Paolo Zaffaroni 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 568 KB

We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the "raw" series and for the "squared" series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main stati

Asymptotic self-similarity and wavelet e

Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations

✍ Stilian Stoev; Murad S. Taqqu 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 446 KB

Data Driven Order Selection for Projecti

Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence

✍ Eric Moulines; Philippe Soulier 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 462 KB