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Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

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  • Hosking, Jonathan R. M.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VW1TT8-B/2/82e68df0679f4905693a53d02828d374
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 73 (1996)
    Issue (Month): 1 (July)
    Pages: 261-284

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    Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:261-284

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

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    1. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
    2. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
    3. Joseph G. Haubrich & Andrew W. Lo, 1989. "The Sources and Nature of Long-term Memory in the Business Cycle," NBER Working Papers 2951, National Bureau of Economic Research, Inc.
    4. Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
    5. Carlin, J. B. & Dempster, A. P. & Jonas, A. B., 1985. "On models and methods for Bayesian time series analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 67-90.
    6. Sowell, F., 1989. "The Deterministic Trend In Real Gnp," GSIA Working Papers 88-89-60, Carnegie Mellon University, Tepper School of Business.
    7. Noakes, Donald J. & Hipel, Keith W. & McLeod, A. Ian & Jimenez, Carlos & Yakowitz, Sidney, 1988. "Forecasting annual geophysical time series," International Journal of Forecasting, Elsevier, vol. 4(1), pages 103-115.
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