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Generating schemes for long memory processes: regimes, aggregation and linearity

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Author Info
Davidson, James
Sibbertsen, Philipp

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4DTKM7M-1/2/5f5a49548345eda274861aa3e2b23556
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 128 (2005)
Issue (Month): 2 (October)
Pages: 253-282
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Handle: RePEc:eee:econom:v:128:y:2005:i:2:p:253-282

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  2. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-410, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  3. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  4. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  5. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Quantitative Finance Papers 0808.1538, arXiv.org. [Downloadable!]
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